Whatever the allocation vehicles used, the advisor should be able to justify the reasons for the use of their chosen asset allocation instrument, whether it be a direct equity or an indirect actively managed fund or index investment.

High expense ratios on certain WRAP accounts need to be fully assessed and explained here. If the advisor does not have a rationale as to why their approach is an optimum medium for the investment of your capital they are more likely to be selling products than managing money.

There are indeed some products that can never be justified yet are sold quite actively within the industry.

Managers of direct equities will often state that mutual funds are the poor cousin of asset management.  In fact, the most efficient vehicle for the delivery of asset management is a mutual fund structure. 

A manager can focus on the investments they want to buy without having to deal with large numbers of individual portfolios which detract from stock selection and management, they can deal more cost effectively and the firm can allocate its best managers to selecting and managing these investments.

Indeed, most firms who have a disciplined stock selection approach will work off a recommended stock list and most portfolios will be directly related to a model portfolio structure.

Where mutual funds become inefficient is where a) the costs are too high due to excessive commissions on purchase and egregious trailer fees, b) where the managers using the mutual fund lack the expertise to use them appropriately and c) where the portfolios constructed are incapable of providing the personalisation needed.

Provided you have the necessary expertise and ability and resources, direct equities can be cheaper, although not necessarily cheaper than no load funds with no trailer fees and, can be effectively used to provide personalisation.

Used properly, collective investments, such as mutual funds and exchange traded funds, can be just as effective and efficient as direct equity investments.  Look at Warren Buffet, his expertise is sold via what is effectively a mutual fund.

In the wrong hands, both direct equities and mutual funds can be extremely bad vehicles.