Pros & Cons of putting all code in Header files in C++?

Question

You can structure a C++ program so that (almost) all the code resides in Header files. It essentially looks like a C# or Java program. However, you do need at least one

Answer 1

The obvious downside to me is that you always have to build all the code at once. With .cpp files, you can have separate compilation, so you're only rebuilding bits that have really changed.