Ran into this question again this week from a client, so figured I'd share the reasoning.

Microsoft's eDiscovery + Content Search is technically free (if you already have E3/E5), but "free" doesn't mean "fast." I've watched exports crawl for hours on mailboxes over 10GB, and throttling kicks in right when you need it least — mid-export, with no clean way to resume. You're also stuck downloading a separate export tool and hoping your search actually caught everything it should have.
Here's the thing most people don't realize until they've hit it: a failed eDiscovery export doesn't resume, it restarts. If you're doing this for 40 mailboxes overnight and it dies at mailbox 30, you're back to square one.

That's usually the point where admins start looking at dedicated export software instead. Not because the built-in method is "bad," but because it wasn't designed for bulk work — it was designed for legal holds and compliance searches, and bulk PST export is a side feature bolted on.
A tool like this DRS Softech Office 365 to PST export tool  is built around the opposite priority: get many mailboxes out reliably, with filtering, resumability, and reporting baked in from the start.

So my honest take — one mailbox, occasional need? Native tools are fine. Regular bulk exports, deleted accounts, or anything where a restart would actually hurt? Worth paying for the dedicated tool.