This all depends on what you want out of the experience. If you want the best value and fast process, buying a complete bike is probably the best.
If you want a unique bike and have patience, money, and time, go for the full build. I’ve built a couple of bikes and it is extremely fun and rewarding. Each step will take research but no step is insanely complicated that a motivated person can’t figure out. It’s all on the internet.
But keep in mind, full build is EXPENSIVE. The first time you will likely overlook many little parts that are required to make the bike work. Also, many parts require specific tools to install adding to the cost. Tools are a big cost.
If you are in the sport for the long term and want something new go for it. But if you just want to ride, go buy a bike.