One thing I've heard (from production toolsetters) about Weldon shanked tooling is that, on production environments, CNC weldon toolholders would wear quite quickly.
The reason went something like "if you can manually insert the tool, there's room for it to flex, and if there's flex in the toolholder it will wear".
It actually makes sense if you think about it – the set screw will act as a bit of a pivot, and the tool will bend; and once some wear gets in, it'll bend more, increasing wear…
Not something we'd need to be worried about in our workshops, I'd expect!