Pretty interesting to see - he does it right at the start of the video.
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Oh that’s interesting! I don’t think I’ve ever seen him do it since… 
I’ve watched a ton of videos of him over decades, and for sure this is the only time I’ve seen him do it. And clearly he could do it, so I suppose he just didn’t like it for one reason or another (I’ve read comments that he felt it was harder to keep time with, but I don’t think I’ve actually heard him say that himself).
What’s particularly interesting to me is how easily he flows into it from his standard Gilbert right hand position. I have been thinking for a while that he doesn’t actually have a preferred escape, other than outside string changing, and maybe he even defaults to trapped when on a single string… which would open up the possibility for this two way economy picking, which he decided to never use again. haha
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Though a lot of his playing vocabulary is based around mixed escapes, I still think his preferred escape is DSX. I didn’t really start to notice this until I made the switch to DSX myself 
So many of his great licks are based around this simple DSX lick:
Even when he uses mixed escapes he still seems to favour DSX the majority of the time:
Keeps the downstroke escape on the string skip lick but pulls off what would have been the upstroke escape (the end of the tab is wrong, he picks all the notes on the D string):
And the lick timestamped here:
And you never really seem to here him doing typical USX pentatonic licks, he will always start on a downstroke and use hammer-ons and pull offs, even though I’ve seen a clinic where he talks about how he was really into Eric Johnson and Zakk Wylde:
The only example I can think of him doing something USX is the intro solo lick of Technical Difficulties (and maybe in the Silence Followed by a Deafening Raw DVD) but I’ve never seen live footage of him actually play it, even though it’s a pretty easy lick, maybe that alludes to a DSX preference as well?
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Just about every time I’ve seen him do sixes across 2 strings, shifting position, he plays it D H H U D U, repeat, like in the end of Technical Difficulties, turning the entire thing into USX when it certainly could’ve been done all DSX, like D U D U H H, or whatever you like.
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That’s definitely true and that one lick has always confused me about his picking choices. That seems like an Eddie Van Halenism more than anything else. It’s pretty easy to do the more USX version with DSX and a helper motion, maybe it’s more for textural reasons as the picking and hammer-ons give it a really cool sound? 
EDIT:
Also Paul’s hand position always looked very similar to John McLauglin’s DSX to me, as opposed to the more neutral version of DSX you see from Al Di Meola and Andy Wood:
Sounds infuriatingly good 
It’s interesting that he claims that he has always been “bad” at sweep/economy playing. Maybe this playing style feels somehow hard to do for him, but it’s certainly not noticeable from the outside.
Are there any pros/cons of doing this that come to your mind?
All my opinion, but I think the closer you are to being trapped, or at least having very little escape, the easier it would be to get either escape (using a “helper motion”, which could be as subtle as very minor forearm rotation), swipe, or sweep in either direction. The more pronounced your escape is, the trickier it would become to do the opposite escape. This probably comes at the cost of requiring more overall accuracy and finesse.
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