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One of the advantages of having an Azure AD Connect is that your users only must know one password. (The same password for Windows and MS365)
You said:
However, I still have multiple Group Policies and also Custom build apps that relies on LDAP or Active Directory.
This is another reason not to abandon Azure AD Connect.
And responding to your main question, I don't see too many caveats, in my experience, a great benefit is that you can administrate some device functions from your azure ad.
Hope this helps,
Carlos Solís Salazar
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