These are my findings around Modern Sites without Office 365 Groups. It is, of course, a subject to change.
Today (2020-02-21) when you create a Modern Team Site without a group, you will get a site with the template STS#3. This oldie has been around for a while, hasn’t it?
I would always recommend creating Office 365 Group Connected sites.
How it is created
Through PowerShell/REST or from SharePoint Home, if your account is not allowed to create Office 365 Groups, it will automatically create a site without a group.
Site Creation Speed
It is really fast, much faster than the old STS#3, so something is different.
CustomScript is enabled. Which is the same as DenyAddAndCustomizePages=Disabled. CustomScript is a security risk, so I hope Microsoft will change that.
Yes, connecting to a new group is possible.
Listing Team Sites without Office 365 Groups
In SharePoint Admin you can filter them based on “Team Site (no Office 365 group)”