Using PCB mounted pots do cut down on the number of solder connection you have to make but now that you are attached directly to the PCB. Any shock that the pots get hit with will transfer to the PCB. If you haven't noticed the copper on a circuit is not attached very strongly. Ever pulled a copper trace from the board soldering ? Imagine how easy it will be for one stomp on a pot to do the samething.
One of the things that make building/designing pedals so hard is dealing the physical abuse the pedal will take. Most electronic componets are designed to be used under "normal" load conditions i.e. Turning a knob by hand on a panel. They are not designed to take the physical stress of being stepped on.
With that said you can use PCB mounted pots but you have to make sure you proper means to handle stresses and load. One example is to use pots that have threading for a nut so you can mechnically attach them to the panel like normal pots.
Another issue is your board design. You have to make sure that the pots will line up perfectly with the holes on the panel. If your off you either have to make changes and etch a new board or break out the file/larger drill bit to make corrections to the panel which can be ugly and damage the box in general. Having pots with flexable wiring allows for some tolerence.
Your board will also have be more aware of the third dimension which most people don't worry too much about when designing boards. You can usually play with the board height inside a box when everything is connected using wires. When you attach PCB pots you are then mounting the board to a fixed height. You have to take into account all the other compents not to hit the board at that height. i.e. Jacks, switches, battery, etc.
You have to take the time to address all of these and other issues to sucessfully use PCB pots. This takes ALOT of extra design time which you may not be interested in doing. Most builders get away without having to deal with some of these issues by using wired, not mechaniclly PCB attached, parts. If your serious you might want to look at CADing you effects to deal with some of these issues.
Here is one of things I do to help when wiring parts. I made plate that attaches to the front lip of my work bench. It has various holes drilled in it to fit different parts. Jackes, plugs, switches, etc. It also has holes for different size pots making use of the locating tab which I break off later. I can either bolt the parts to the plate or if I'm in a lazy mood just let it sit in the plate while I solder the connections. If you don't use too many different part layouts you can make a jig that you mount all the parts to and wire it up on that then move it into the box.
Just a few thoughts.