The major benefit to using live rock from the ocean is the microfauna that comes on it that is hard to get into the tank any other way. Yes it may contain pests. There are ways to manage them.
You can also buy live rock that is essentially created the same way you would in your tank from dead rock. It just saves you the time. It has always seemed to expensive to me.
Dead rock is just rock. You are starting from zero. I have never done this.
My last 2 tanks were done with half and half. using Tampa Bay Saltwater rock, Caribsea Life rock and Marco rock.
I have some stone crabs living in my sump that came on the rock.
They aren't this big
yet.