I'd go with what you want. Sometimes some of stone for the sill on drywall returns can be nice.

A nice black marble would look good there.

I had left over Hardibacker board. Used that on the returns, and tile on the sills, with a Schluter edging on the tile.

There are no pros to a drywall return other than price. It was only ever done to cut costs.

geoffery, you may prefer the look. That is fine. That said, it is FAR less expensive for the builder to have his drywallers do that than it is to furnish and install woodwork. That is the only reason that they do. Inarguable. It is an inferior, cost cutting method that may or may not have some redeeming value I guess for people that like the look. If you want a minimalistic, modern look, how about some pvc or wood returns without the casing? That would be worthwhile. A superior product with the look that you want.