I've done the stern anchor thing a few times. We have an outboard so I was always worried about the rode fouling on the outboard and tearing it off the transom. At the time I was keeping all my anchor rode in a canvas bag, so it was a bit of a hassle hauling it around the shrouds. Plus chain on gelcoat makes my flesh crawl.
Fundamentally the main reason I don't do it anymore is that my motivation for doing it in the first place is gone. I think I was basically afraid to be away from the cockpit and not in control of the boat, even briefly. After anchoring a many times last year, I learned to be copacetic about the fact that the boat is going to do something out of my control, albeit fairly predictable, while I'm up at the bow. So there's no incentive to try weird anchoring-from-the-cockpit stuff anymore.
s/v Laelia - 1978 Pearson 365 ketch
s/v Essorant - 1972 Catalina 27