I'm going to break from the majority here and say it could possibly go either way.
For a higher-end system, I wouldn't bother with any builder who won't tell you the exact parts they're using. I don't know what the situation is with Alienware these days in the Dell era, but if they don't say or use custom parts in key places I say skip 'em.
Something like a custom but still ATX standard case is fine, but a proprietary motherboard or GPU is no good IMO.
From there, just do the math. Look up what the same or an equivalent machine would cost you to build, then figure out how you value a central source for warranty support and the time you'd take to build it yourself.
I've only seen this on the low end rather than the high, but its certainly possible that the volume OEM gets better prices on parts than you do to a point that they can sell you a prebuilt that's either cheaper than you could build on your own or a better value due to the warranty and personal time issues.
All that said, I personally enjoy the process and the ability to select exactly the parts I want to a point that I doubt I'd ever buy a prebuilt for my own use outside of a few appliance-type machines where I can't easily replicate it.