That really is the big issue with a self build: If something goes wrong, you have to track it down and handle all the support. If you get a pre-built from a good vendor, they'll handle it all. Say what you want about Dell, but all you have to do is run their diags (baked in to the UEFI) and call them with the code, they'll send a dude with the parts needed.
So that should be the major thing you think about. If you don't want to do support, then buy it from a vendor that will provide you with support to the level you require. I tend to recommend Dell because their hardware is reasonable and they have support available everywhere. They subcontract it, but it all works well. We use it at work all the time.
If you are willing to do support yourself, then building it gets you precisely what you want. I build my system at home because I have very exacting requirements for what I'm after and nobody has that kind of thing for sale. Like I don't want a "good large power supply", I want a Seasonic Platinum 1000, nothing else.
Also you'll find that generally at the higher end of things you save money building a system. For more consumer/office range stuff it usually is a wash: They build the mass market systems around as cheap as you could afford to. However when you start talking higher end gaming stuff, you can pay a large premium for things.
As an example I just built a system for a good friend of mine. He wanted some very, very high end hardware and pretty specific requirements. Origin PC would get him what he wanted... for about $9,000. I put it together for around $6,000. The gamer stuff often commands a hefty premium.