Less stress, esp if you are building one for the first time. Ready to play right when you receive. Less clean up from component boxes. Cable management will probably be better.
I think honestly if you build one, then you have the knowledge if something goes wrong and you can find the issue. Rather than something go wrong on a prebuilt and you're just starring at it. Hahaha
Some say the pre-built models are designed to have all the components work together to maximize performance. They claim expert testing and validation to make sure you get the most out of your gear....
Pros- fully built, stress tested, setup, 100% working and compatible. Cons- no satisfaction that you built your beast. EDIT - also usually an additional warranty on pre-built , but individual parts warranty is usually better
My friend said that someone he knew bought one and it had arrived broken. They put the gtx 1080 in one PCI E slot but screwed it into the next slot on the case. It broke it.