I've built a few of each kind. They all have their pros and cons.
Neck-thru provides the most consistent stiffness for the entire length of the string. But it's a pain to do the woodworking on the wings separate from the beam. At least it was the first time I did it. I've done a few since then, and I'm finishing one up now, and I'm sorta getting used to it.
Set-neck lets you work on the neck and the body separately, and then join them at the last minute. More manageable on the workbench.
Bolt-on has the advantages already mentioned - you can build the neck separately from the body, then assemble them at the end of the build. You can replace a neck that gets damaged, or a body that gets damaged.
People say things like "neck-thru allows better upper fret access", but that's not true. I've built bolt-ons with excellent upper fret access. They're just not built to Fender spec, that's all.
People say things like "neck-thru has such and such a tone", or "bolt-ons are punchier". I never know what they mean. All I know is that the stiffness of the structure plays a key role in the response of the string. I can build a plenty-stiff neck, and I can build a plenty-stiff body, and I can glue them together with Titebond, or bolt them together using 10/32 inserts and stainless machine screws, and both methods provide plenty strength and stiffness.
When you design from a blank slate, all things are possible.