...that there is no room for mystery or to add in your own corner of the world.
Well, there IMO resides an actual problem.
If you have to do with veteran players, players who have experienced the various settings throughout their roleplaying career, there is little room for mystery if you introduce to them a setting they have played before.
There is little to no intrigue for a veteran player if you throw at him FRs and Greyhawk. Not that as a DM one cannot change whatever he wants... but the very fact that the player might know some very basic mythological, historical, political stuff about the world is certainly a killer. No matter how you have changed the Zhentarim or the Cult of the Dragon, no matter how obscurely you portray them in your "version" of the setting, the very fact that the player has encountered an organization with the same name/similar traits... well you understand...
On the other hand, if your players are not so experienced, or if they've never played the setting you are introducing, then there really is no problem, even with the most detailed of settings.
Personally, i don't get the chance to play with new players very often. People i play with are people who 've known/played the game for years and who are pretty much experienced as far as the most famous settings are concerned. Therefore the problem remains.
As a DM i have done both. I have both used detailed settings, as well as settings entirely of my own creation. The success of my games was not based on these factors however. Because as a DM, i get to change, throw away, whatever is getting in the way of making the game MY game.
Truth be told, when time was pressing me, i certainly enjoyed having a few things ready for me when using ready-made settings be that historic fluff, maps, or NPCs.
So in my opinion, it doesn't matter at all whether one uses a detailed settings, a less detailed setting, or a setting of your own. A good DM will always use his imagination for the best... be that to create a world on his own, or to change things on existing material so as to make his game a unique experience.
One could argue how a personal setting is far better because it is your own personal creation etc... etc... etc... ...which is certainly an argument i agree with... however i tend to think of the DM more as a director than a writer.
The best scenario in the world, in the hand of a bad director is still gonna make for a bad movie... while a bad scenario in the hands of an inspired director is always gonna make for a good movie.
So to conclude:
Makings things on your own has the important advantage of being able to keep experienced players in the black, with more mystery and intrigue even for those on the know.
Using existing settings, no matter the detail, can save you some valuable time when you don't have it.