The advantage of the integrated MP is that its the easiest to use, and needs the least complicated code because it does entity updates automatically over the network. Also the tutorial is better for the integrated MP.

But the disadvantage is that you have a limit of 8 players in the native MP. GSTNET and ANET can use more players. So for a big project you must use an external library, or use Gamestudio Pro that does not have the 8 player limit.

If the 8 player limit does not matter for you then you can just compare the native MP tutorial with the ANET tutorial and try both and decide yourself what you like more. I found that the native MP demo is a little faster and uses less traffic than the ANET demo.