Installing Cyanogen on basically any HTC phone is trivial. You don't lose features (though you might gain a bit of flakyness in the software, depending on the phone). Carriers wouldn't be able to retaliate (unless you need a warranty repair) and keeping it updated is trivial too as the ROM Manager comes with auto update functionality

The downsides are that you might lose your warranty and that stuff breaks a little bit here and there (at least on my SLCD Desirefor which sending mail via Gmail stopped working and which crashes here and then - the usual little things)

But it's trivially done and generally works well.