I make my own.
From a money perspective, it's not expensive either way. If I buy a leader tying kit for $30, most of that is gonna last me 10 years. A leader probably costs me less than a quarter in the end, not counting tippet, but tippet is needed either way. Store-bought leaders aren't expensive either.
Nor is it that time consuming. I can make a leader in 5 minutes sitting in front of the tv. It takes more time to gather the materials and find the tape measure than it does to punch out a couple of leaders. Tying flies, now I'm slow at that. Leaders, not so much.
Personally, I like my leader material to be much stiffer than most store bought knotless ones. Meaning the butt and the taper, I do like soft tippets. Stiff leaders just turn over much better. And I think with the places I fish the most, I value control and accuracy over drag. I can work on drag via other methods. But if I can't throw a tight enough loop to get up under that branch, I'm sunk.
However, you CAN buy pre-made leaders that are stiff enough, you just have to be a bit selective.
Ultimately, I think it comes down to flexibility for me. I adjust leaders to the conditions a lot. A knotless leader from the store is gonna end up with knots all through it anyway, when I shorten the butt or the mid-section the next time I'm out. I'd never be able to buy a leader and just use it unaltered for any period of time. I'd hit that spot where I want it shortened, and I'd shorten it. Then I'd hit another spot where I want it longer, and lengthen it. Why not just have a handmade one to begin with? At least then I know what size each section actually is, rather than have to mic it or guess.
I don't think it's "necessary". I'd advise a true beginner to buy a couple of different leaders and hold off on making their own until they get better. But if you're not a full on beginner, and looking to take that next step, yes, I'd advise making your own. Leader construction is an underrated aspect of this game, it's probably more important than what fly is on the end of the line.