This isn't new. Windowless controls were popular back in the days of ActiveX, VB6 featured them heavily. Browsers use them. Winforms has them too, the ToolStripItem classes are windowless. Component vendors like Telerik specialize in them. Clear advantages are being able to render faster, back-fill missing features, better support for custom styling and platform independence.
The consequences are the obvious ones. The UI tends to age quicker since it doesn't adapt itself to the evolving operating system look-and-feel. Usually quoted as an advantage. There tend to be slight glitches where the custom UI doesn't quite behave like the native one does. WPF does have a few. And UI Automation is more difficult, albeit well covered in WPF with the System.Windows.Automation namespace.