I'd rather say that advantages & disadvantages are not bound to IE addons but more to the programming languages and their platforms.
.NET:
- It is easier and more safe then C++
- Easy to create and program UI
- Requires end user machines to have a specific .NET Framework installed (you can run your addon on compatible frameworks)
- Uses more memory
- Requires to declare WinApi functions and constants if you need them
C++ (ATL COM approach):
- Uses less memory
- Can be statically linked thus does not require .Net frameworks, Visual C++ runtimes, etc (in other words run everywhere)
- Easy to call WinApi
- Requires more knowledge and generally more tough then .NET
- Awful UI editor (at least the built-in for ATL/MFC)
So if you are a .NET guy pay attention to compatibility with different .NET Framework versions. Other stuff is minor.