Apart from the satisfaction of building your own, you can expect little or no help, apart from this forum, in resolving issues which may arise from compatibility or other problems.
I have built 4 computers for myself and many others for friends and family. My last computer was a Mesh and it has performed faultlessly over a 4 year period. I did not need to contact Mesh at any time. I am currently using an iMac. I decided that the lack of help in a self-build was outweighed by the help factor. You can in most cases, certainly in the case of Mesh still upgrade after purchase as they use an "open case" policy. There is also the added concern that as an individual you will not have access to bulk buying discounts and therefore what you build, although it may be better/faster/quieter than you can buy, it will almost certainly more expensive