the only reason not to do it is for legality.
I dont know what kind of delusion people have. there are very few tank bred species available regularly (clowns, pseudochromis, cardinals, seahorses, a few gobies, one or two high doller dwarf angel hybrids plus give or take a few) or even the know how to breed them if they wanted to since virtually no research goes into ornamental fish compared to commercial fish. the rest come from the ocean. Now do you think they go thru some magical health screen and conditioning before they reach the pet store. I'm sure its MUCH less stressful to be taken from the ocean to your home than being bagged, held, shipped and shipped again.