Being gearless gives you a speed advantage. Having gear gives you a weight advantage. The gear would slow your reaction down I imagine, until you get to the top-shelf neural link stuff. That should give you the power advantage without the lag. The real advantage of any gear is to maintain your guard with reduced fatigue.
@Bud: They planned on giving him gear after round 3 apparently, but to give up that Gearless title would be disappointing to fans.