I'm not going to bash Dell or Alienware -- before I got into customs, I used Dell desktops! So I hope no one takes this post as me saying Alienware sucks or Dell sucks. I'm just trying to offer my own opinion. I'd look at it like this:
ALIENWARE route: Safety net wherein you can simply tell them what you want and have it assembled for you and bamf -- good to go with a very low chance of problems out the box; however, you are running the risk of overpaying by a fairly considerable amount (and in some cases, for components of low or lesser quality) and putting aside experience that you will not have by ordering a premade PC.
CUSTOM route: Save $200+ and know what's going into your PC; learn immeasurable amounts of experience in building, deconstructing, maintaining and repairing a PC while running the risk of having to return the parts if you futz up.
Honestly, I'm really all for going for the custom route. I did, and it's a year later and my PC is still kickin' butt with minimal mishaps. Think of it like this... pretending that there are no quantity, quality or cost differences: you could go Alienware and wait days/weeks for them to assemble a PC, or you can wait a few days after ordering those parts from NewEgg and you ultimately gain so much more than just slapping an order down on an Alienware will ever give you.
As someone who owned several of Dell's gaming PCs, they're not... bad? In terms of raw performance going head to head with an equivalent custom, they can be pretty beast if you're willing to spend the money (although you're going to ALWAYS spend less via custom building, with zero exceptions); in the same regard, I've never known Dell to use quality parts in ANY of the PCs they shipped me, so you're playing a bit of a dangerous game because if something goes wrong, it's going to probably happen in a premade PC rather than a custom rig and a. with Dell/Alienware rigs, you CANNOT take the computer apart to upgrade or repair it yourself or your warranty plays Alderaan to Dell's Death Star and b. aside from that, at least you can go in and find what's wrong and fix the problem in a matter of days.
Personally, when I had my Dell(s) and something went wrong, my brother or myself just took the darn thing apart and found out for ourselves what the problem was, warranty be snubbed. It was through this that I realized that if someone who began as ... /not/ tech-savvy at all can develop into a person that can tackle pretty much whatever curse the PC gods cast upon him with only a bit of research, ANYONE can do it. It's really all about having the confidence, the will to learn, and the time to research into how to built your dream rig.
You can take that $200 that that Aurora setup would cost and do a lot with it in a custom rig: tack on a hefty SSD, beef up your GPU by the next series up (or two, or a few!), improve your choice of CPU, get a few extra gigs of high-quality RAM, or pick the best power supply you can get your hands on instead of that OTHER power supply you were eying. Heck, two hundred dollars saved is money saved towards whatever you wanna buy.
All in all, it's up to you, but I really hope you go for custom. Either way, enjoy your choice and may it server you well, my young eGO-wan.