The only advantage of hollow section over I section is resistance against torsion.
Most of the material is present away from center of mass of the section. To resist torsion we need maximum portion of material away from its center. Take the center of hollow section and draw a line away from its center and you will intersect the cross section of the member.
But perform the same exercise for I section and you will see that apart from flanges you will never intersect the cross section of the material away from its center. This is why we see lateral torsional buckling in I-beams if the top of the flange is not secured.
Hollow sections are also useful in case of weak axis bending. When a lateral force is applied on I-beam, it hardly has any moment resistance. This becomes a big problem in case of large spans. But a hollow section has flange to resist bending in both directions and thus it makes a very good member for a strong bi-axial bending as well.
So, it is better to use a hollow section when an eccentric loading is on the beam or there is a change of weak axis bending.