DNS Forward vs Connected Domains

What is the advantage or disadvantage of connecting a domain vs simply forwarding the domain?  For example, the .com is the primary domain, but we also own the .ca, .co, .info & .net of the same name and similar named domains.  Domains are registered thru GoDaddy but website is hosted with Squarespace.  

In the past, we have simply forwarded the address to the primary domain but Squarespace allows us to connect non-primary domains.  Any disadvantage of connecting multiple addresses to the Squarespace site instead of simply forwarding?  Any advantages?

Thanks in advance!

With connected sites  domains always points to the home page, forwarded domains can be pointed seperately to any page on the site. Sometimes that is an advantage. Dual language sites use that function.  If forwarded domain masking is available then the forwarded domain remains in the browser address bar, if not it changes to the domain name that it is forwarded to.