Should IT report to the CFO?  What are the advantages and disadvantages?

No, the CIO should report to CEO

IT will only be a cost if they report to CFO
Even if the business wishes to self fund a IT project for legitimate but difficult to quantify reasons it won’t be funded. I would never work under the CFO if it’s an option

Like everything, no two CFOs are alike and the drivers behind each one of them are different. For CFOs where IT is perceived as a cost-center, IT innovation, and possibly efficiency, would likely take a hit since the budgets are secondary in the corporate priorities. For CFOs with a holistic corporate view, they can become an empowering ally to provide support to visionary IT leads to improve processes and tools.

I think it doesn't matter who you report to as long as you do do the job and contribute to the business.
In my experience it is best to report to the CEO because it improves your chances of support and getting better business insights.

It depends. Typically, the CIO report into one of the C-level executives such as CEO, CFO or COO.   Attaching the Deloitte report summarizes the findings.  My experience shows if the CIO is working on strategic initiatives (innovation) must report into CEO, otherwise for tactical initiatives CFO is the next best choice. Remember CFO is cutting the checks for COO, CMO and other executives. He keeps the cost in control. So, the closer you are to the money the better leverage you will have in driving initiatives.  

 https://www2.deloitte.com/insights/us/en/focus/cio-insider-business-insights/trends-in-cio-reporting-structure.html

I’ve seen that where the organization lacks a CIO. And if it does, the CFO is the best worst place for IT to be under.

With that, it a larger organization, there should be a dedicated CIO reporting to a COO/CTO/CEO.

Technology and Finance are two different domains. And they should be independent of each other.