I hope that this helps you in making your decision.
Due to the additional write cycles that occur on a full-blown
installation, the life of the flash drive may be slightly reduced.
Like any solid state drive, USB thumb drives have limited rewritable
cells. Granted, these are quite long, but if you are using the drive
as RAM, this can run out relatively quickly.
This doesn't apply to systems particularly designed for live systems
which keep all changes in RAM until the user logs off. A Live SD in a
USB flash card reader adapter is an effective way to avoid any duty
cycles on the flash medium from writes and circumvent this problem.
The SD card as a WORM device has an essentially unlimited life. An OS
such as Linux can then run from the live USB/SD card and use
conventional media for writing, such as magnetic disks, to preserve
Limited Protection – Persistent Data is left unencrypted in most cases. Lose your drive, someone could steal and use your data.
Persistent data is uncompressed – Although the Live OS can be compressed, the persistent data is left uncompressed making it very
easy to run out of storage space quickly.
Some changes are not saved persistently – In some cases, further modification is required to enable things like graphical card
settings and network card settings to be saved. In some cases, system
wide updates do not work.
Sources: Pendrivelinux.com and ehow.com