You wouldn't be able to plug in the 24pin ATX connector to the mobo, which is how the PSU gets the signal to turn on. It is a simple bridge of two ports (google for 24pin atx bridge on), which will leave your PSU on all the time, if it has a switch on the back that will make for easy on/off switching.
However, as said above, adapters are much simpler :)
However, as said above, adapters are much simpler :)