Yes, it is an inconvenience to have to pick up MK.com tickets on the day at the box office but, even when buying tickets for others or passing on tickets, it can usually be sorted out on the day at the venue. You just have to trust someone and agree to meet somewhere in time beforehand.
The biggest drawback is not knowing which seats you have when you purchase your tickets on MK.com. As someone says, you can apply for tickets in the Arena but get seats quite a long way from the stage so that, the Arena being flat, you don't get a very good view at all;. In that circumstance, seats in the Stalls would be better, because you are raised up and the seats are raked. It is just a lottery and that is unfair, especially when you're spending so much money.