For example DAC Bryston BDA-3 on AK4490 chipset accept DSD for directly conversion to analog signal (w/o conversion to PCM) and PCM for conversion to DSD and then to analog signal inside chipset. So there is a obvious benefit of external PCM -> DSD conversion in Roon Core due to best algoritm and powerful computer vs such conversion inside AK4490 (as and any modern delta-sigma DAC chipset).
Of course if you have multibit DAC (not Delta-Sigma) that there is no sense in an external PCM > DSD conversion because multibit DAC converts the PCM directly to an analog signal.
But now multibit DAC are rare, and only in the upper price range (for example MSB DACs).