I did not use VCL styles because I also have Dev Express and like to use their skins. But here are my two cents for DX skins.
Pros for DX skins:
- looking great
- always comes out with lots of skins
- chooser selection widget built-in for the end user if you use the DX ribbon in your application
- DX has great support for its components
Disadvantages for DX skins:
- Not applicable in Citrix or Terminal Services environments due to slow screen tinting.
- each skin adds an entry to your USES statement, which can be cumbersome for version control
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