I was looking at those square types but I haven't used one.
Just out of interest I read this article about stacking 2 circular polarisers and spinning them to create the same effect as the spinning variable ND filters. I just tried it out and it works. At one point they are almost black (a deep blue).
http://www.digital-photography-schoo...density-filter
I leave the polariser filter on all the time so no problem with screwing on and off but yes the graduated ND needs to be screwed in and its a tad tricky. For daylight shots rotating the polariser really gets a nice sweet point for the sky. I'm a bit new to my grad ND filter but it seemed a touch extreme so far.
I believe the advantage of the square type grad ND filter is you can slide it in or out to suit the scene more exactly rather than half and half like the screw in one does.
Greg.