The built-in particle system is quite limited - with sprites you can do all sorts of interesting things, such as scale them, rotate them, etc. This lets you make more realistic effects, such as billowing smoke, etc.
I wish the built-in system was better, this has been brought up a couple of times, but I guess the thought is the same - "if you want better stuff just make it yourself" - as far as I know performance isn't really better or worse so might as well.