More power, with a greater personal risk.

I've received some individual grants from private foundations in another country. Those grants were essentially unconditional gifts, as there were some tax benefits with such grants. I could have spent the funding period surfing in Bali instead of doing research, and nobody would have had the standing to complain.

Things change if the funder wants to maintain control over how the money is spent. Once there are regulations and compliance requirements, things become risky for the individual. If you end up in a situation, where a reasonable person would employ a lawyer or another professional, it's safer to have a legal entity between you and the funder.