Advantages to campaign settings:
1. They save the DM prep time, because the creative ideas are already in-place. Because "fluff", aka flavor/tone/groups/npcs/organizations/nations, are supplied by the campaign setting, all the DM really needs to prepare is crunchy stuff like stat blocks and plot hooks.
2. Players know what kind of game to expect they'll be playing. If someone asks me to play Eberron, I picture swashbuckling on top of a lightning rail car. Forgotten Realms, and I picture scouting dark elven invasion forces on behalf of powerful archmages. Dark Sun, I expect a brutal game of survival where nothing and no one is to be trusted. Ravenloft, I expect to be a beacon of hope in a dark land that corrupts everything it touches...including me.
3. Because these campaign settings have a lot of support built into them, it makes it easier for the DM to tie up a cohesive story from heroic to epic. It can still be done with a homebrewed setting, but it takes a lot more skill and practice, both on behalf of the DM as well as the players. Running an established campaign setting essentially makes things "easier" for both DMs and players.
Disadvantages to Campaign Settings:
1. If you have players who know more about the campaign setting than the DM, metagaming could be a big issue...or worse, try to contradict the DM when for flavor reasons they tweak something from the campaign setting.
2. One of the greatest strengths of D&D is that is that the mind is limitless in imagination, and thus infinite in variety. But if you tie yourself down to a campaign setting, you lose some of the "uniqueness" of exploring a brand new world. It can also stifle creativity.
3. The only published 4E campaign settings right now are: the generic POL setting (bleh), Forgotten Realms (bleh), Eberron(good), and Dark Sun(okay). If none of those campaign worlds appeal to you (and there are many other possibilities out there), then obviously you'd be better off making your own campaign.