There are a few cases where file+cue sheet might be beneficial.
If your media player doesn’t support gapless playback, this is the trick to get it.
As there is no tagging standard for WAV, this is the trick to make the tags portable.
In practice I do think file + cue a bit clumsy.
You have 2 files and see to it that they are in the same dir.
In general both the file and the cue (the tracks) are displayed in the interface.
You can’t tag at track level (single file)
The “tags” in the CUE standard are limited.
I doubt if MC update CUE-sheets
Etc.
http://wiki.hydrogenaudio.org/index.php?title=Cuesheet