So I haven't seen a single module with a SoZ kind Overland map. Even if people do modules with world map free exploration, they make custom maps and not SoZ ones.

Are there any problems with the option or anything else?

No problems that I know of. Here are some that use an SoZ-style overland map:

Path of Evil
Misery Stone
The Black Scourge of Candle Cove
Legacy of White Plume Mountain

Probably others.

I think the reason it's lesser used is that the majority of modules were made before SoZ was released.

Thanks a lot, I will try these modules!