A lamp with its shade already on it has a reputation for being the safe choice, the thing you buy when you don't want to think about it, and most of the time that reputation is fair. You're trusting that whoever paired base and shade knew what they were doing, and more often than not they did, because the proportions are worked out before it ever leaves the box. I've bought plenty of mismatched pairs, bases from one place and shades from another, and spent a weekend squinting at them on the floor before admitting defeat. A lamp that arrives already married to the right shade saves you that weekend.
Where it falls short is anywhere you want the lamp to do something particular, like cast light up a wall or throw a hard, focused pool onto a desk. The shades that come standard are built for general, softened light, which is lovely in a living room and useless if you're trying to read fine print at ten at night. They're also a poor fit for a room that already has one dominant light source doing a specific job, a reading chair under a window, say, where a second general glow just fights the first without adding anything useful. If you need a workhorse, look elsewhere.
What they're built for is the in between hours, the lamp you switch on at five in the afternoon when the daylight's going thin and gray, the one that makes a bedroom or a den feel like someone lives there rather than just sleeps there. Old houses with low ceilings and small windows depend on these more than new builds do, because the architecture was never asking much of electric light to begin with, just a warm supplement to whatever the windows already gave. Check the harp when it arrives, that thin metal frame holding the shade up, because a cheap one bends if you so much as look at it, and check that the shade sits level and isn't already yellowing at the seam from being stored under a hot stockroom light. Linen and a soft ivory paper shade are the easiest to live with over years, they forgive dust and don't scream for attention against whatever wallpaper or paint you eventually get around to changing your mind about. Stark white looks sharp in a shop and faintly clinical once it's home.
What it won't do is replace the fixture you actually need for close work or bright, practical light. That's a different lamp, bought for a different reason.