Only few information can be found on HERMS-like layouts for which the coil is placed in the mash tun instead of the HLT, like the one presented here. One big advantage I see is to prevent stuck mashes (which I currently encounter). What are possible disadvantages compared to a "classic" HERMS?
Here's the pros and cons I see.
Pros (coil in mash)
could be configured as a two vessel system, the boil tank can double as hlt for batch sparge allowing step mash. But then lose ability to fly sparge.
no need to vorlauf (set grain bed) for step mash
could use a small heat souce and small volume of thermal liquid in a closed system, allowing the use of other solutions that transfer heat better. Like glycol.
easier to use electric heating element. Using electric elements in direct contact with wort usually denatures enzymes on contact since the elements get very hot and can't easily be set to just "warm".
Mash volume is basically static. Doing a 5g mash in system designed for 10g will reduce the heating efficiency because the exposed coil will loose heat to the air and not into the mash. Making it difficult to dial in your system with different batch sizes.
Loss of recirculation. Causing hot spots around the coil, requiring stirring.
possible loss of the advantages of a HLT. Fly sparge, recirculation, better temp control. If it does use a HLT, I would prefer the coil be in the HLT.
Notes: Whatever system you decide to use, you should never heat the heating liquid above the denature point of you target enzymes. You may be temped to set heat to 168°F and let your mash step up in one shot, but this will denature those enzymes in close contact with the heat source. This is where you heat transfer efficiency is important.
One of the mayor advantages of using the "classic" HERMS is that you will get circulation on the mash, whilst heating it. So the advantage with this might be that you will not get stuck mashes, you will also have to stir in order to get an even heat-exchange since there will be no cirulation of the liquid inside the mash-tun.
If you were to add circulation in the form of pumping round the liquid, you might as well use the "classic" HERMS.