If you have the means to record the dataset in house it's the best way. You can directly talk to the annotators and the subjects, you make sure that this data cannot be redistributed unless someone leaks it, and you will have a better grasp regarding privacy policies. It is also likely to be cheaper.

With external data it is almost impossible to prove you are allowed to have it, and this data can then just be resold to someone else, potentially a competitor.