Pros are:
1. The hardware cost will likely be cheaper.
2. You may be able to include some extra features that the standards offering does not have, and that may be especially useful to you, such as extra terminals, snubber components, diodes, LED's, etc.
Cons are:
1. If it does't work, whodayya ring?
2. It isn't a catalog PartNo anymore. If you want another one in a hurry in 3 years time, you have to roll your own from scratch.
3. In the long-run the initial savings may be diminished by the inconvenience of the "home-made" part.
4. The labour costs in house may be higher than you expect.
There may well be a local "cable assembler" whose core business is this kind of thing, and he may be able to offer a better solution than doing it "in house".