They are moderately popular here in more rural areas.
Advantages are all wood mess and fire risk is away from the house.
Often the woodshed is built next to the outside boiler so no hauling wood into the house.
Disadvantages are you have to go outside to load it and it requires electricity to get the heat into the house.
You also have to either keep it going in freezing weather or use an antifreeze solution to keep it from freezing and busting when you go on vacation, this creates a cross connection issue if the optional water to water heat exchanger is used for domestic hot water.