I don't have one, but they're fairly common in NW Ontario. Comments I've heard is that they're wood eaters. A neighbour heats his house with one (I don't know if it's an air-air or air to water exchange). Another neighbour says he gets two tandem loads of wood a year.
Owner of a wood stove place said there's no such thing as an efficient wood furnace (of course he's trying to sell stoves).
Another comment is fairly high installation cost and fairly high maintenance costs. Corrosion is a problem in an outside furnace. If the fire dies down, there's more condensation due to the cold outside temperatures.
Of course, there may be differing opinions, I'm just passing along comments I've heard.