The advantages of heterospory over homospory are:
The gametophyte of the heterosporous ferns initiates within the spore coat so known as endosporic gametophyte. The endosporic gametophyte ensures the embryonic development than the exosporic since it is vulnerable to different environmental conditions.
In heterosporous pteridophytes since the megasporangium is attached to the sporophytic plant body even after fertilization. So a proper nutritive environment is created for the developing embryo better than an independent prothallus as in the homosporous ferns.
In heterosporous ferns after fertilization integuments become hard and form a protective cover around the female gametophyte and the embryo. This structure with advanced embryo inside forms the seed.