The advantage to this is that you start with the action, instead of writing reams of gradual build-up from the shallow end, dipping your toes in tentatively and running away from the big waves. Crashing into the depths at the start is what the reader wants. It is tedious to wade around on the edge of a story. Especially when it's a short story and you know it will soon be over.
The disadvantage is that it's harder to weave a careful plot and tie in all the loose ends. You write and write and then suddenly realise that you don't know where all this action is going or why it exists in the first place. The story needs rooting. So you have to put your head up above those waves and maybe swim to the shore for a while to regroup your thoughts.
But making plans makes my writing wooden, so I'll continue to jump in.