There are no "con's" of mechanical filtration. It's actually a neccesity for the most part. Just pro's and con's for thevarious types of mechanical filtration.
It's not the mechanical ascpect of the filtering that becomes a nitrate factory, it is the biological filtrations portion that does this.
Lets take your penguin for instance, the "biowheel" part, or "biosponge" is the biological filter that can easily become a nitrate factory, while the carbon filter cartridges are the "mechanical" filtration. Keep up with cleaning and maintance on the mechanical filters and they won't be a problem. Remove the biowheel or biosponge or whatever "bio" material you have to reduce the "nitrate" problem.
and to clarify for those interested: The biological filtering is done by bacteria that colonizes on the biomaterial. Because of the location of different types of bacteria, they filter differently. For isntance, the bacteria on your biowheel gets loads of oxygen and this makes the bacteria great for removing ammonia and nitrite from the water column. But does nothing for the nitrates. Having an anerobic zone or a no/low oxygen zone, such as you get with a deep sand bed, or with loads of liverock with anerobic zones deep inside the rock will cause bacteria colonized their to eat up nitrates and convert them to somewhat harmless gas's that escape our systems through evaporation/surface agitation. So, if you are unsure about the type of filtration you are considering, ask yourself how much oxygen do you think will end up on the biomaterial. Obviously a wet/dry filter or biowheel filter will get the most oxygen. A canister as well, but removing the biomedia and using liverock works wonders. Even though canisters are horrid at biologically filtering a reeftank, they are awesome mechanical filters since all the water pushes through the media, where in a penguin filter, alot of water passes around or over the sponges and is not forced through it.
Enjoy!