What are the benefits and disavantages of withdrawing my 401k, and investing it myself?

I work for a company that provides both a pension, and minor 401k benefits. I can contribute to an investment account that they will manage, but there is no 401k matching whatsoever.

The account itself is with Vanguard. I could just open my own account and dump it back into the Large Cap Vanguard fund (VLCAX). In my mind, the only theoretical loss is any early-withdrawal fee. Taxes can be addressed easily. The gain is the ability to move it around, sell it, or sell options against it.

This seems too simple. What large points am I missing here?