For us, a nanny was the sort of thing that when it was good it was great but when it wasn't, it was immeasurably more stressful than a nursery.
We've had live out nannies only (although live in au pairs).
I hate admin, so was not a great candidate to take things like PAYE on the chin w/o a moan. But this doesn't have to be such a drama and isn't for most people.
We've never had any issues with a professional nanny eating us out of house and home or overspending on things like food, the kitty, although others have tales to tell of this.
Nannies are obviously unsupervised and you need to trust them - our 1st nanny smoked in front of the children and just generally ran her own show w/o any notable regard for our wishes. Had her family round when she felt like it, let her daughter look after our DD if she had an errand to run, among other things too numerous to run through here (and I have ranted about them previously.) Disciplinaries or firing someone, worrying about tribunals - nightmare. Brings home to you quickly the fact that you have the same rights, obligations, and risks as any big company for the most part and the responsibilities of that can feel painful at times, especially when someone is pissing you off.
We had health problems with our second nanny which meant that she had significant time off work on a fixed term contract that I was scrambling to cover whilst in the latter stages of pregnancy. But again, also knowing what you can and can't do to cover yourself when trying to work out whether you can amend the job/whether the nanny is suitable for the job on health grounds wasn't easy for us.
You really need to make sure you know what you're doing re employment law and I have to say that I don't think resources for parents in this situation are great - I didn't find the people at our payroll company that red hot when I asked them about specific issues, i.e. what would happen if, can she do this, etc.