EE PNP advantages:
1. You have right of one stupid mistake. (if your federal application is cancelled because of the missing document you can still use PNP that is valid 6 months and get next ITA)
2. No insecurity for the first ITA (this one is obvious)
Disadvantages:
1. it takes longer (because it takes some time to get PNP itself)
2. It takes slighlty longer on the Federal level when compared to CEC
3. You have to start in the province that has nominated you. (that means landing formalities or first arrival, also it can be through other province if there is no good way for direct arrival).
4. You might be ready to justify leaving that province (also there was not yet case where one would get into serious problem because of that).
5. It is more expensive (as most provinces do charge fee for the PNP application).
Myths:
1. It takes much longer when compared to other types of EE (this a complete myth, the only delay is when waiting for the provincial confirmation, everything else is the same and individual).
2. you must arrive immediately (no you have same rights as any other PR)
3. You must stay in the province for x years or until citizenship (no you have same rights as any other PR).
4. PNP is very expensive (the only difference is the application fee, which when compared to the monthly costs of living in Canada are not high. Almost all other documents required are also required on the federal stage or will be needed in Canada later on).
5. Once I apply I am bound to that province (no you can withdraw you application at any time or even decline PNP nomination)