It's more expensive and more difficult the join. You'd have to fishmouth all the joints to get a clean weld, as well as add a bunch of flat plates with gussets for all the attachment points. Square tubing or channel can be fit using all straight cuts, and it's already inherently flat where you need to attach things like the body and suspension.
If you've already got a bunch of CREW or even HREW laying around, might as well use it. If you're planning this from scratch, round tube will extrapolate the challenges.