I went through the same thing- was renting a place with limited storage space and didn't want to put the box away when not using it. I thought about getting a bag because they roll up so nicely and don't take up space- also, they can easily be removed from the roof and taken into a hotel room without unpacking!
Then then my brother told me about the one time he tried a bag. The roof of their rental van had side bars, so he and a bunch of friends filled a roof-bag from walmart will all their stuff and tied it on. When they got to their destination, the roof had actually dented inward where the bag had been. All the weight was not evenly distributed and the roof wasn't strong enough at the point it was resting. They were able to pull it back out before returning the rental, but I would imagine doing it all the time on a little car like the 5 would not be a great idea. What they do sell is a tray/rack sort of thing, looks like a metal wire lattice. Your things could then be thrown into that and tied down, so it isn't resting directly on the car.
The problem with this is that you still have to deal with the waterproofing as mentioned earlier, but now you have to find a place to store something approximately the same length as a box. Also, the lack of aerodynamics is also going to give a more negative hit on your MPG and wind noise.
At the end of the day, I went with a Sears X-cargo box and just made room for it in storage by stuffing things inside it when not in use. Can't say anyone thinks the bag is a good idea!
