Aside from the fact it's another HTTP request, but these days on the majority of computers and connections, that's a trivial thing.
I'll add that !aw to search the Arch Wiki and !aur to search the AUR are my two most favorite commands.
Because if I wanna search Reddit, I'd prefer to have '!r' search directly within Reddit and not litter my browser history with tons of duckduckgo entries like this:
https://duckduckgo.com/l/?uddg=https%3A%2F%2Fwww.reddit.com%...
doesn't hurt to have options! to each his own
You’d think DDG could avoid this via JavaScript if they wanted to. Might be better for privacy, if not for their usage stats.