In my case its several reasons:
1. Page Load Times – A number of programs had problems with banners either not loading at all or taking so long that MY pages timed out before they could display. I felt this alone was a serious problem for visitors and search engines. By serving my own banners I cut page load time by more then 60%.
2. Reliability – Quite a few times while doing updates I found banners missing on my pages. When I checked the casino had deleted that creative or renamed it. I find missing graphics on my pages intollerable.
3. Security – Some casinos have linked the banners they were serving to scripts which ran pop ups on my sites when the banner was displayed. I was also concerned that a few less reputable partners were looking at where the banners were being served on my higher trafficed pages and then TARGETING those pages in Gator, WhenU and other scumware programs.
4. SEO Considerations