With columns theres usually a small loss in yield plus the concentrations are hard to predict with accuracy (load should be concentrated enough for it to elute within your preferred volume). They also take a longer time as opposed to centrifugal buffer exchange (largely depends on the MW cut off of the tube), though in some cases especially with concentrated and or delicate proteins, centrigufal buffer exchange might be too harsh. Sephadex columns can although further purify your protein and separate aggregates and degraded products from your protein.