setting eos with pre-build binary is super fast with less errors.
What is good thing with building from source?
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Just make sure that you trust where the binaries are downloaded from. I personally prefer to build from source and if you are building on a common distribution of Linux such as CentOS, you probably won't face any new errors that others have not already faced.
Binary installs are always bad security practice unless you can verify the site you download the binaries from is under strict control. Source code downloaded from a git hub repo is much "easier" to trust.
Its only really useful for developers of EOS.IO code, or for people who want to see the code and understand it to help them develop dApps.
I always dive into the source code to figure out how things work on a deeper level in order to better write my smart contracts.
You can use some plugins provided by the community (eos_zmq_plugin for example) while building from source.