When to use different Word2Vec training approaches?
The advantage of using pre-trained vectors is being able to inject knowledge from a larger corpus than you might have access to: word2vec has a vocabulary of 3 million words and phrases trained on the google news dataset comprising ~100 billion tokens, and there's no cost to you in training time. 

In addition, they are fast and easy to use, just load the embeddings and look them up. It's straightforward to substitute different sets of pre-trained vectors (fastText, GloVe etc) as one might be more suited to a particular use case.

However, when your vocabulary does not have an entry in word2vec, by default you'll end up with a null entry in your embedding layer (depending on how you handle it). You'll need to consider the scale/impact and how to address it (keep/discard/consider online training). As yazhi says a decision must be made about how to handle out of vocabulary words. 

The advantage of learning word vectors from your own corpus is that they would be derived from your dataset, so if you have reason to believe that the composition of your data is significantly different from the corpus used for the pre-trained vectors then that may result in better downstream performance. However, that comes at a cost in time taken to train your own vector representations.