Purpose of using polyphase filter bank (PFB)
One advantage of a polyphase filterbank approach is, as you guessed, that you can control the frequency response of each channel. When using a DFT alone, you have limited control over the frequency band covered by each bin (characterized by a Dirichlet kernel in the unwindowed case, or by the frequency response of whichever window function you select). This is sufficient for a lot of applications.

In some other applications, however, you might want tighter control over the per-channel frequency response. Say you wanted to construct a DFT-based spectrum analyzer with very particular specifications (e.g. -3 dB response at the midpoint between output bins, -80 dB response at a one-bin spacing from center). You can utilize the polyphase filterbank structure to implement whatever filter is needed to achieve the specified level of performance.

Another application is in cases where reconstruction is needed after the channelizer: if you're careful in the design of the polyphase filter, you can actually perform straightforward spectral modification (similar to the "ideal filtering" that many signal processing beginners attempt using the DFT) in the frequency domain, then use a synthesis filterbank to take the composite signal back into the time domain. This structure, with cascaded analysis and synthesis stages, is known as a transmultiplexer.