You don't lose the other Bahamuts. You only gain Bahamut Zero.

Mastering "Knights of the Round" is the biggest drawback to getting a Master Summon materia, in my opinion. Of course, you can get a whole set of Master Materia simply by (SPOILER)defeating Emerald Weapon... but that's not too much help if you want to get Master Materia for everyone in your party. Now that takes ages.