It's nice to have some degree of independence from the price fluctuations, strange stack quantities, and availability of the marketboard.You're paying something for it either way.
Mining your materials looks to be free, but you're still paying by way of not selling it. There's no difference between buying 50,000 gil worth of mats and farming up 50,000 gil worth of mats and then choosing not to sell them. Additionally mining takes TIME - both to level your miner, and to gather up the mats you need. That's time you could have spent crafting (and earning more money), or doing other things in the game that you might enjoy.
That isn't to say that mining is useless. You guarantee yourself supplies. You might like the notion of building stuff with materials you gathered up yourself. You might just like mining as something to do when you have some time to kill.
(Especially on smaller servers, where prices & availability of mats generally isn't as good as on higher population servers)
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