The most important thing to keep in mind, as was alluded to earlier, is that you don't stop being a lancer when you become a dragoon. When you equip the soulstone, the following changes occur:

1: Your receive a stat adjustment. While the class (lancer) is built to be soloable, able to do a variety of things well, a job is more polarized. Your stats will be adjusted to reflect this role, something like more strength while lowering vitality and mind. I don't know the exact changes for lancer into dragoon, so this is just an example.

2: You gain access to job abilities. There's 5 in total, you receive them by going through the job quest line. These are the main reason to use a job over a class.

3: Your cross-class abilities are restricted. Not only do you lose access to abilities from all classes except three (which three depends on your job), but you can also only allocate half as many. This is perhaps the biggest thing that moves jobs more to party play than solo play, as depending on your class you can lose out on important abilities like cure and protect.

4: You can equip new equipment. The artifact armor, which you receive by doing the job questline (All level 45, except for the body which is level 50), is job only. In addition, you can eventually upgrade it to item level 90 Relic armor, which is also only usable by the job, not the class. There are also relic weapons (item level 80, can be upgraded to 90), which can only be used as a job.

To summarize, the only thing you lose is cross-class abilities and the stat penalty may not be kind for soloing purposes. Other than that, you receive a ton of bonuses. Really, outside of niche situations you'll rarely ever use lancer over dragoon.