This made me think of an interesting analogy (and I'm sure there are more). Buying a well-designed higher line insulated jacket, where the entire "system" of the layers has been thoroughly considered and tested, is like buying a nice high-end audiophile grade speaker system. Sure you could go out and buy/build a box along with the separate drivers and the crossover network, but then you're on the hook for building the speaker and making it all work optimally. Will your homemade speaker deliver music to your ears? Yeah sure, but there's no way you're putting in the same level of engineering and testing that an audiophile grade speaker gets.
When you "build" your own ski "jacket" through the combination of multiple layers, you might get lucky and it works out well for you, or you can do what some other skiers do and leave the design of the windproofing, waterproofing, breathability, and insulation levels to an expert.