Cherry,
There's a lot of use cases which can decide you to use direct BICS connection.
Here there's a lot of good read blog entries and documents about Web Intelligence over Bex Queries :
- http://scn.sap.com/docs/DOC-35062
- http://search.sap.com/notes?id=0001611185
- http://scn.sap.com/docs/DOC-36077
And the best for the end with this useful document by Ingo Hilgefort : http://scn.sap.com/docs/DOC-11874
Performance will be sensitive with 2 main services "Adpative Connectivity Service" and "DSL Bridge Service" whitch fetch datas from SAP BW.
From my own experience, it's better using BICS and faster than an universe. You can also import security from SAP BW to SAP BI Platform and all your datas are pre-calculated with SAP BW, so much better !