Hello. I just picked up the core set. I noticed each house has part of a 'living quarters' cycle (Drogo's Tent, ect) that are locations that say they may be played as an attachment to your house card.

What would be the reasons for or against doing this?

Certain houses (Targareyn) are good at getting rid of attachments, and other houses (Greyjoy) are good at getting rid of locations. So you have the option to play them as a location or as an attachment depending on what makes them the safest.