power supply management IC switching transistor - flyback converter
It totally depends upon the application. Having the switch component onboard the IC chip itself is convenient for some applications as it saves components on the board. But the current rating of the onboard switch will be limited to what the manufacturer specified in their data sheets. 

On the other hand a switching power supply controller that uses external switches will generally allow the designer to select the suitable MOSFET(s) for the application to achieve the desired supply current capabilities. I said generally because it is possible that a given switching controller will be limited to how much MOSFET gate capacitance it can drive which in turn will make some limit on the range of choices available to the designer when selecting components. 

Some switching power supply controller ICs are designed to be used with special buffered MOSFETs that have built in drivers and charge pump boosted gate drive voltage. In this special case the signal connection between the controller IC and the buffered MOSFET is just a logic level signal and easier to design with. Keeping in mind that buffered MOSFETs may very well be more expensive than their unbuffered cousins.