Having it in form
www.mydomain.com/username would cause unneccessary high load because SEF would need to check wheter "username" is a component, section, static page or username, going through the whole userlist (imagine 100.000 users).
How did you achieveit without SEF Advance? Using mod_rewrite? In that case it may work with SEF Advance installed. All you need to do is to download the free trial and test.