Besides the obvious environmental and ethical concerns?
Well, there is a belief by some that WC specimens will have a higher chance of having a parasite or mite problem, although I think it depends on a lot of circumstances. (Parasites can spread rapidly within a collection, much more so than in the wild, so proper care, luck and good keeping plays a big part)
Another consideration would be acclimation. A captive born specimen will already be used to mild temps in houses, being in a tank, etc., and will therefor be less likely to become stressed by it's "new" situation.
There are some other considerations besides the above though.
One problem you will find when trying to make your choice, is that there are no CB adults for sale, at least that I have ever seen. I've seen a few CB slings offered, but they are not common. Although some have been able to rear slings to adulthood, many have had difficulty. If you choose this route, read up and set up a great tank, or be prepared for loss.
Cost for WC will be cheaper. I do not like this fact, but it is a reality. It takes a lot of work to keep, breed, and rear slings. This costs more. While there is a lot of work in collecting in the wild, most of the cost and work involves getting to the location, and this cannot compare to the effort in raising a sling for sale as an adult.
So there ya go.
The only thing I'd like to add is this:
If you do buy WC H. arizonensis, imo the ethical thing to do would be to breed it. Consider your time and effort to be community service to the Wild scorpion populations. You won't make any money from it, not after your expenses. But you would gain props and knowledge. It would be a good thing to do, and you would enjoy it as well.
Good luck on your choice! And enjoy. H. arizonensis is an amazing scorpion.