Some of the downsides of natural incubation are:
You can't choose when, or even if, you will have a hen go broody.
She will stop laying eggs whilst she is broody, and will not start laying again until her chicks are well developed.
There is a limit to the number of chicks one hen can hatch and raise.
Not all hens make good mothers; some can be clumsy and break the eggs they are supposed to be hatching, others will ignore their newly hatched chicks, etc.