Direct sound recording has many disadvantages:

• You get bigger files or lower quality.
• You can end up with system sounds or any other sounds in your recordings
• You can't do many things on your computer that involve sound card usage, when something is recorded.
• You can't record multiple streams at the same time (unless you have multiple sound cards)
• You can't split and tag recorded songs (unless you use Replay Music for Windows that can record anything from your sound card automaticaly splitting and tagging songs)

So obviously it is better to capture/rip/download streams in most cases. And you can use many applications for that, but most of them work on Windows only.

The main advantage of direct sound recording is that you can record any sound produced by your sound card.

p.s. Both types of programs can have or have no scheduling feature.
p.p.s. Some of these disadvantages are not true for some Mac OS programs