The advantages of MXM are quicker implimentation (meaning there doesn't have to be a card made just for the iMac versus the Macbook) and possible upgrade paths down the road. The card can sense the power and cooling requirements automatically and thus clock down or clock up depending on what the manufacturer allows. It's quite possible, then, that a mobility Radeon HD 4850 could perform worse in some configuations when compared to others (meaning the iMac's card could perform slower or faster than a laptop containing the same card).
Disadvantages: the maximum power consumption is limited to 35 watts in MXM-III slots (the biggest and most powerful) so you'll never see desktop performance in any iMac when it comes to GPUs. This probably means no SLI configurations ever in the iMac either unless Apple redesigns the motherboards and enclosure to support two slots. The MXM module must support Apple's video BIOS as well, so, no easy upgrades either by purchasing gray market MXM modules (as you can with many PC laptops).