Scikit MLPClassifier vs. Tensorflow DNNClassifier
Maybe you want to use a more complicated activation function - i.e. leakyReLU or you want to add batch normalization. From a brief look at the API there is no option for batchnorm in SKlearn. Also it appears that you can't use dropout with MLPClassifier.

You might also feel more comfortable with tensorflow features - i.e. tensorboard, or you might feel more comfortable with SKlearn. To each his own.