Cons of wild caught-
Lots of parasites (almost definitely)
Effort in trapping them
bad for your local environment
Pros of wild caught-
None that I can think of. Free maybe? But time = money
Cons of LFS feeders-
Probable parasites & disease
Pros of LFS feeders-
Easy to get & cheap
Some fish will only take live food
Cons of Breeding your own-
Effort required
Pros of breeding your own-
No parasites & diseases
Endless supply
Free except for electricity & maintenance costs
Basically, the only safe and responsible way to go is to to breed your own. Or, buy them and quarantine for at least a month, while treating for diseases + parasites that may arise. After working in the LFS/pet industry for most of my life, I would never trust feeders bought from a store tank and put right in your fish's belly. Pretty much a guaranteed way to give your fish parasites and disease. Wild caught feeders will also posse a big risk.