how are you creating your levels? Do you use blender,maya, 3dsmax, lightwave or any modeling programm and then import an fbx into wed, or do you create the level completly from blocks in wed directly? Or a mix of both?
Are there any disadvantages to any one of these techniques? Like issues with lighting?
Mix of both. Blocks are handy for simple plateau's, walls and columns etc. They are also more easily to adjust in size after imported in WED. But I find modeling complex level environments (per piece) much more convenient, namely because I find MED and other 3d programs work easier than WED. One thing to remember when using models for your levels is how you import them (as block or as model), it has a major impact on the imported model's lightning/shadow.
In the end, it comes down on what you prefer and how your map is going to look alike. I advice you to try them both out and see for yourself what you prefer.
It is easiest to explain when you see it yourself :):
Open a map (/.wmp).
Press right mouse button (anyware in one the 4 views) than 'Add' than 'Add Model' and select a model to import. And mark the flag 'Shadow' on.
Now go to 'File' (in the upper left corner) than 'Import' and than 'Import from MDL files' and select the same model. <- this is as block
Now start the map and compare the two imported models. Generally, the model imported as a block really blocks (no pun intended) light, while the other model casts a shadow. Futher they differ in how they are effected by lights and the sun.
Ofcourse setting flags or adding shaders/materials and such can add or reduce differences, but that is another story. Also IIRC the Lite-C tutorial explains it too in one of the workshops, most probably better than I do too ;D.