WearOS has a built-in media control that you can configure to pop up automatically when the phone is playing music or video. There are also multiple apps that act as remote controls for the phone's camera. Mine also displays the camera view on the watch, which can be very handy.

The third-party media players often provide more detailed controls. They handle a broader range of formats (particularly VLC). And some of them perform better.

To be honest, though, the main reason I use third-party players is because I'm familiar with them. It's similar to the advantages of using a third-party launcher. You have a lot more control over when and how you upgrade your UI experience.

I use podcast addict in much the same way. I can control it using my WearOS watch or even just via the Bluetooth controls of my headphones. I use podcast addict mostly for podcasts (obviously), but I also have (a very manual and kludgey) RSS server at home to feed me and the rest of the home audiobooks via podcast addict. I've started to move that listening more to Plex via PlexAmp on my phone, which is also controllable from my watch. The Plex audiobook experience isn't perfect, but it is a lot easier to manage.

I haven't found a need or advantage to an external player yet. But, I have found some codecs that the Plex app has struggled with, which might benefit from an external app. I haven't had the issue in a while though and didn't think of using the external player then, so no guarantees.