The advantage of making one's own wheels comes in the form of having the exact wheel you want--diameter, width, tread (or tread attachment), and method of drive (dead axle, live axle (keyed or hex), etc.). The disadvantage of making your own is that it takes time (both human and machine) and effort.
On the flip side, COTS wheels are readily available and require little to no machining time. You may not get exactly what you want, though.
I've been involved in FRC for five seasons now, and the teams I've worked with have never used or needed a custom-made wheel for drive purposes; we've always focused any machining efforts on a manipulator. (And looking at some of the manipulators, I shudder to think what our wheels would look like!
) Of course, that's what suits us; we tend to have a tolerable amount of money and not so much fabrication ability. You, on the other hand, may have no money but an old metal shop with a lot of suitable material; if that's the case, you'd probably want to look into it.
It all comes down (if we focus solely on the robot for a second) to using your available resources to make your robot as effective on the field as it can be.