We have implemented AX 2012 R2. We opted for one legal entity having multiple sites. The only issue was the adding mark up for the transactions between sites. But with some customization, that can also be achieved.
Positives of having one legal entity:
a. The common users don's have to really switch companies for the transactions. Usually, purchasing, treasury, accounting and marketing operations are common to the organization. (As you mentioned, you also have shared services)
b. Company level reporting is much easier. (Though MR can handle reporting in both the scenario)
c. Site wise costing is possible
d. Site master can be linked to financial dimension which makes it work very smoothly. You will never feel that business units are configured within same legal entity.
e. There is an inter-unit accounting (GL-->Set up--> Ledger) feature in AX 2012 which ensures that there is balancing of financial dimension for each inter-unit transaction. And the client can have business unit wise balance sheet. Actually, our client loved this feature.
So, having multiple sites can do almost everything what different companies can do.
Downside of one legal entity:
a. Security on transaction forms (purchase orders/sales orders) is an issue. We had a small customization to enable only site wise access. Security on journals is out of the box feature in AX.
b. Mark up for transactions between business units- This is the biggest challenge in this scenario. If we configure separate entities in AX, it is out of the box feature using inter-company purchase orders/sales order.
But we opted to create normal sales order and purchase orders. Though this approach was not ideal and the users have to create manual sales order and purchase orders. To facilitate them we provided a upload feature. :)
As per my view, mark-up issue is the biggest factor.
But I would recommend to go for one legal entity.
