Excel doesn't really run in the same process, AFAIK. It can hang, which could hang this SPID.

It's an interesting solution, and one that might fit in certain places. Having users query Excel works sometimes, doesn't in others. I have had plenty that I wouldn't want messing with Excel queries. Especially in cases where they had Windows Auth access to SQL Server.

My preference is to use SSRS/ SSIS to pull the data out and build an Excel sheet, but that's not to say this might not make sense in some cases.