We've done both. Cleveland Confidential Tour was booked in-house and for the most part went off without a hitch. Except each stop took a good weeks worth of work to coordinate, time I could have spent doing something else, but I'm a label, it's my job I suppose. We got lucky on that one as it was mostly door deals, and we knew enough people to get booked into the right places for that sort of thing.
All the RFTT tours have been booked by a top tier agency that has it's shit 100% tied down tight. Never a problem getting the confirmations we need to do our work, never booked into a bullshit club the band can't fill, no death rides of 500 miles or more. Clockwork.
We have a number of bands that self book. It's not easy, it's 90% bullshit and 10% days that go right. Most of those bands limit themselves though to the midwest and east coast which is way easier to book 10 nights versus the west coast where 10 nights means there's gonna be some fucked up mega drives that will without a doubt sap whatever energy the band has to deliver on stage. Plus, like cans of soup? That may be your pay, if any.
We have one band that used an agency that totally sucked: confirmations always lacked key info (promoter name and contact data, set times, load-in times). Trying to piece that stuff together is a nightmare, plus it's not my job, that's what the agency was supposed to be paid for. Plus, half the gigs were in places that were too big or just didn't do punk or garage.
Best to really develop some friendship with an agent before signing on.