Transformer volume controls (TVCs) introduce quite a bit of low order distortion into the music, mostly H2, H3 and H4. This low order distortion skews the distortion spectrum towards something rather like tube amplifiers with their large output transformers, and partly simulates the sound if you use a very low distortion SS amp.
There are two problems with TVCs, cost, and complexity. For 20 steps, you need 20 taps on the trafo, and this, unless it's very well shielded, can create a few problems for assembly and sometimes causes noise issues. A great advantage, but not one generally available because TVCs are wired as autoformers, with one continuous tapped winding, is that a TVC can use a primary and a secondary, and this enables you to omit the input cap, removing a source of high coloration from the input cap. However, I have never seen a TVC wound as a conventional transformer; they are always autoformers, which seems a pity.
Yammy1688, if you have a TVC already, go for it. It will sound damn good.
Cheers,
Hugh