This is all a question of personal preferencies. I like better the "standard" separate windows even though, as PascalDragon said, you can end up with a dozen windows on your taskbar in Linux. I find easier (for me) to just alt-Tab between them and close/open those I want or not.
One (minor) problem I see is that the "hub" for my way of working is mostly the editor, but Lazarus' "hub" is its "main window" with the menu, the component palette, etc.
It wouldn't matter much if, like in Delphi, you could for example access the main menu from the editor, and so on. Unfortunately you can't: you must swicth first to the "main" window.
Another pet peeve of mine is that in each new version there seems to be less and less "helping" for "keyboard-mostly" folks: menu items, buttons, etc. without accelerators, common key alternatives not working, etc. No "show-stopper" realy, but kind of annoying.
Well ... nothing is perfect <sigh>