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I imagine there are times when it's more convenient, but not if you're a stickler for clean surfaces.

Over the years, I've finally started to realize that completely assembling a model before painting is not always a good idea. That's why a lot of painters will mount their components on metal wires and stick them into cork boards to paint them: you get stability and control like you would on a sprue, without the assembled parts getting in each others' way.