Initially there was no advantage to S-OFF. In addition to being able to flash ROMs, you could flash radios and kernels in recovery S-ON, which couldn't be done before. This was extremely convenient.
With the OTA, it appears as if HTC has locked down the bootloader such that S-OFF cannot be achieved (yet), and reports are that you can no longer flash radios or kernels via recovery S-ON.
So, best bet is to go ahead and achieve S-OFF before taking the OTA. That will set you up with more flexibility if it takes forever for the lazy panda team to crack the new bootloader.