They sure both have their pro's and con's.
I did affiliate marketing for almost my first 10 years online. I liked the low level of responsibility. As long as my sites were running and traffic was flowing, there was nothing I "had" to do. You never needed to help customers. Actually you never need to deal with any one. I think it was my first year of full time I took like 2 months off. My sites were running, hits coming in, money being made, so I chilled.
But as mentioned, with affiliate marketing you don't always get all the money. Usually you make the one sale and the affiliate program get's future sales. That can vary of course, but in general. Some programs have longer cookies, or recurring.
Though, will agree, selling your own can usually mean more income. Not only getting those customers in your funnel, but getting the return/repeat sales.
Selling your own products or services means your customer support though. So you have to "be there" more. And some people are not good at support. Love my wife and she is a very nice person, but I've never let her do customer support and she agree's. Gotta have thick skin sometimes.
All depends on the person. Not every one is cut out to sell their own. Some don't want to sell their own. Yes you might not be making as much with affiliate marketing, but you gain more freedom with affiliate marketing. Depends on what's more important.