It really comes down to personal preference.

I never go anywhere near the DataSource objects because I prefer to use my
own DAL.

For the same reason, I never use the Validation controls because I have my
own set of JavaScript validation routines which give me much more control...

The data components like many included components are like training wheels
on a child's bicycle. They are helpful when first learning, but as soon as
you know the basics, then they only get in the way.

with hand-coding you get more control, plus when something goes wrong you
*can* fix it and don't have to deal with a broken black box that is the
pre-packaged component.

The Law of Leaky Abstractions
(http://www.joelonsoftware.com/articles/LeakyAbstractions.html) is relevant
to your question. Components abstract many details in an effort to help you,
but you need to understand the underlying realities once things go wrong.

-HTH