Graduated filters and the correction brush in LR works like layers. Same functionality. See them as layers with layer mask being black. You then paint in the effect. It does essentially most of layers do. You can stack Graduated Filters and Correction Brush effects. File size still remains small.
I often have 2-3 grrd filters active and use correction brush sometimes.
Brightness and shadows controls give some HDR-tone mapping. Great way of adjusting scenes with extreme tonal range.
This was done in LR (as far as I recall), from a single exposure. The image is nicer with a black frame :-(
I think it comes down to what you know and are comfortable with. I started using photoshop well before lightroom. Now I start out in lightroom and then usually go to photoshop. I find that at times I need multiple layers of curves to give the image a bit more depth. I also like to dodge and burn in layers. In lightroom making adjustments in one curve doesn't always do it. I like having multiple layers.