I’ve been using this option for quite some time. the initial setup is really no more complicated than setting up another ssh host (and optionally generating another key for it). The great thing is that this also allows you to keep your private keys on the computer where you initiate the connection instead of having to create them on the ProxiJump hosts (which may not always be possible).
And for older OpenSSH where this is unavailable, try "-oProxyCommand=ssh -W %h:%p bastion-host"
"-oProxyCommand=ssh -W %h:%p bastion-host"
And OpenSSH wikibook has even a fancier version.
Been using this feature since I learned about it, it’s a lot easier than the previous ProxyCommand option. Just a few lines in my ~/.ssh/config file make my life so much easier. ProxyJump is used hundreds of times per day for me ;)