You get more variance. Full stop. P2pool has higher variance than other pools. The compensation is higher expected earnings from no pool fees, payout of transaction fees, and no risk of being cheated by the pool.

The question most of us are asking is whether it makes sense to make it an absolute priority to minimize variance. There is no objective answer, but in real terms the variance for a small miner who expects to pull $2/day at current difficulty is not "large" or "extreme." It is large relative to earnings, but the earnings are tiny, and so is the variance. Even then, it has been explained that you will be getting payouts at that tiny hash rate about 50% of the time. Not too bad.

The main thing you get by focusing intensely on minimizing variance is a nice pretty graph of flat payouts. If that is really important enough to you that you are willing to forgo higher expected earnings, go for it. No one can say objectively that's the wrong thing to do, but we can question it.

BTW, the reject rate doesn't really increase variance though, it just (slightly) reduces the share rate. A share that is rejected is exactly the same as a share that you never found. Other than that the high rejects might be telling you there is something wrong with your setup.