1) It requires another window to be open, which requires screen real estate. I don't always have an external monitor attached.
2) Navigating around requires clicking buttons with a mouse. These buttons are quite small, so Fitts' law dictates that it takes longer to navigate. It is much faster to be able type "next", "c", or "up 3" in the same text box that the output appears than to have to keep moving the mouse back and forth between buttons and the console.
3) Because of point #1, it is harder to get as much space for the output of running some javascript.
4) It takes longer to make the connection happen and (at least in the past) has been unreliable. This is a significant annoyance if starting and closing a debugger window frequently, as one might do if trying to navigate to a breakpoint in a particular test case.
I also miss being able to eval code in my buffer while writing Clojure against the same process my server is running in.
Server-side Javascript has the perk of being able to use Chrome's debugger UI. I personally haven't used it much though.
It's interesting how much your core feedback loop / workflow can change between ecosystems. Pry is definitely a highlight of the Ruby ecosystem. The craftsmanship there alone is inspiring.