They have an online service, excellent research tools, analyst reports, etc. What you may lose are the excellent research reports and advice. If you rely heavily on value added research, this could be a major loss. Some traders maintain accounts at the top five firms simply to have access to these reports, but then they go and execute their trades with their cheaper direct access or online brokers. I would urge you to resist this temptation.
Excellent research can be a real value, and it is hard to find, as well as expensive to produce.
In my thinking, it is unethical and just plain petty to use one company's hard won research to purchase stocks thru another firm. After all, people deserve to be compensated for their work. This will be reflected in generally higher commissions and potentially less favorable executions. So you really have to examine your needs. However, if you find the analysis to be indispensable to your trading, you might not find much benefit from moving to direct access.