It’s not sourdough specifically that’s baked that way. The large round loaves are called boules. Dough is typically shaped into balls, and it’s easiest to leave it in ball form or baking it in a common round dish, vs specifically using bread pans.

It’s also not traditional which is a selling point when people are looking for “artisanal” loaves.

I don’t believe it really has any other advantage or disadvantages.

You can absolutely buy sourdough loaves.

Edit: crust. That’s the only advantage. Boules develop a fantastic crust throughout the entire thing.