I've never had a greenhouse (I wish I did), but I'll try getting the ball rolling with a few pros/cons versus growing outside without one:
Pros:
1. Your plants will likely be better protected from heavy winds and rains, as well as animal wildlife.
2. It'll probably give you more space to grow your CPs than on windowsills, railings and balconies.
3. If it works, it'll make you feel really good as you walk into a room filled with healthy CPs.
Cons:
1. Cost, construction, maintnance. Although these can be mitigated by the smaller, easy-to-install greenhouses that come partially prefabricated.
2. Unless you live in a warm climate or intend to build a cold-house, you'll have to contend with winter. This means heating the greenhouse which can be quite costly and risky (God forbid the heating fails). Alternatively, you could bring all the plants indoors, but you'd need an equivalent amount of space and adequate indoor lighting.
3. It's actually harder to control some environmental conditions in a greenhouse relative to outdoors. Rule of thumb is that a larger enclosure has more stable environmental conditions than a smaller enclosure (e.g., outdoors > greenhouse > terrarium). So you'de have to make sure the plants don't bake in the summer or get pest infestations due to overcrowding.
I'm sure other members who have actual experience with greenhouse growing can come up with better and more detailed information. Hope this helps.