I tend to like giving my guns caseless ammo for that futuristic touch, but yeah, the only real advantages are it's lighter, potentially cheaper to make (no more hammering out brass cartridges) and uses simpler firing systems. Most of my "conventional" guns use caseless ammunition and electronic ignition.
Yeah well then there's the issue with "cooking off" which is basically the premature firing of rounds inside the chamber due to high temperatures. The brass cartridge of a conventional round would absorb the heat and act as a heat sink, getting rid of a lot of the danger. It CAN, however, be mitigated with electronic ignition.
Of course I go way too far and don't just equip my guns with caseless ammo and electronic actions, I also make all of them use tracer ammunition and come equipped with advanced suppressors which give the gun the stereotypical silencer noise you hear in movies, which sounds sorta like a laser. In reality, suppressed don't work that well, and suppressed guns don't sound nearly as cool in real life as they do in the movies, but I can justify that by my universe being in the future, where suppressor technology has advanced so much that it's standard equipment on all guns.
All guns in my universe also use tracers because of a (fictional) international treaty forcing all sides to use tracers to A: warn civilians to keep away from warzones, and B: to even up the fight and make things more fair. Of course I just like using tracers together with movie-style cuppressors to make all guns look and sound like sci-fi lasers!