That would make memory management more automatic and allow sharing objects more easily.

Beware of the following situation :
obj->updated.connect (sigc::bind (sigc::mem_fun (this, &Foo::Bar::on_obj_updated), obj);

this makes obj store a reference to itself -- it will get released when the Foo::Bar objects gets freed (if it's a sigc::trackable), but will be kept otherwise, which may not be intended.