Speaking for myself, I prefer Cocotron over GNUStep. A Cocotron application is self-contained, existing entirely in its own subdirectory under C:\Program Files. It also looks and acts more like a native Windows app. A GNUStep application requires a full install of the whole GNUStep environment, and doesn't blend in very well - it looks and acts just like what it is, a *nix app that happens to be running on Windows. Overall, I think Cocotron gives a better end-user experience.
On the other paw, the GNUStep developer tools can run on Windows, whereas Cocotron requires a developer to work entirely in Xcode and cross-compile to produce a Windows (or other non-Mac) binary. Whether that counts as a pro or a con depends on how much you like Xcode.