pros? total customization! you can have your name added to the rod in braided thread, you can have a 3" fighting butt on a 2wt rod, you can get what ever on it you want.
cons? risk: you've never seen the finished version so if you don't like how it looks, feels, or casts- well, tough. You need to keep in mind that the blank manufacturer designed that blank with certain guides and thread wraps in mind. I love sage rods, but they could easily be putting lighter stuff on those blanks. At the shop where I used to work we had a customer bring in a custom built 9' 5wt Sage XP. The original version of this rod is a work of art, but this one was not.
The custom shop used absolute top of the line single footed titanium guides. The reduced weight of both the guides and the epoxy from the thread wraps totally messed up the action of the rod. The customer found that they had to put a SEVEN WEIGHT LINE on this rod that was supposed to be a five weight to even feel it flex when casting. Probably not what they were after.
Also you get the warranty on the blank. If it breaks they ship you another BLANK piece. That means you either have to salvage the components off the broken piece or buy new ones, and then rebuild it yourself or pay to have it rebuilt. If this happens twice, it could easily eat up the original cost savings on the rod.
I do have a rod that i built that i like, but with so many rods on the market with lifetime warranty's priced under $200, I prefer to let the factory do it.