Pros
The comp sets the bar for the entire industry. Free, albeit largely bad, food.
Cons
The vast majority of the "engineering" work at Citadel is low-level maintenance and end-user support. The focus is keeping the lights on, with effectively zero thought given to longer term projects. The engineers who succeed here are the types who can produce huge amounts of exceedingly mediocre code on short notice. Despite the nature of the work, this is a high-pressure environment. Management talks a big game about investing in technology to scale the business, but ultimately this means turning the screws on lower-level employees, rather than actually building scalable systems. Eventually systems/groups end up in crisis after one to many patches/hacks. The response to such a crisis is inevitably a kind of Banzai Charge - throw guys at the problem until it's been hacked into submission in the immediate term, then pray it stays working through the next bonus cycle. I can only speak the engineering side; I assume given the success of the fund that other areas are better.