Mostly true. I can think of a few reasons to build.
1. Need really high end stuff e.g. top of the line video and sound cards - I have a friend who built for that reason.
2. About a year ago I built a low-end PC for the express purpose of running linux. 99% of the commercial PC's you buy you're paying something for windows and windows-based software. If you aren't going to use that stuff it might be worthwhile to avoid paying for it.
3. Upgradeability and maintainablity. A machine you build yourself may be easier to reconfigure when the time comes.
Having said all that what you say is largely true.
And I agree with you! (Well, except for that Linux part!)
I'm contemplating building a Windows Media Center PC with three TV Tuner cards. I'm on the border between just ordering one with two cards and adding my own or just starting from scratch.
Oh, and I want to use SATA RAID in the box (yes, a big box!)