The primary benefit of hex shafting is that there is no key needed. Which means no key to fall out at an inopportune time and no keyway to cut which saves machining time. It is also an alternative if you don't have the equipment to cut a keyway, like a mill. Yes, you could get shafting with a keyway already in it, but then you need to stop the key from moving too far.
The only difficulties that I have encountered with hex shafting are difficulty with finding mating parts (bearings & hubs), and shaft tolerances. AndyMark has largely solved that first problem for 1/2" & 3/8" shafts. Shaft tolerances can still be a gotcha if you are not paying attention. For example, the shafting you link to is 1/2" +/-.005" which means it's actual size may be anywhere from .495-.505". An AM hex hub (
AM-0096) has a hex bore of .501-.505" per the web site. If your hub comes in on the low side and the shaft on the high side it won't fit. (.505" shaft going into a .501" bore) Something with have to give to make that fit. Alternatively, McMaster
6607K43 is also a 1/2" hex, but with a +0 -.008 tolerance for actual size limits of .492-.500" It should always fit in the AM hex hub.
I find it easier to locate mating hex shaft in steel, but the decision between steel and aluminum should really be based upon your load requirements.