The freelance job listing sites generally list lower-dollar-value jobs, often for clients who have an unrealistic idea about the amount of work their cash will buy, plus the job site will generally take a percentage of the money you make. The advantage is that they list a lot of jobs all in one place, and they do the work of attracting hiring companies.
You'll probably be able to make more money if you book customers directly through your own website, but you'll also have to do the hard work of making yourself known, attracting customers, gaining leads and nurturing those leads into a becoming a client.
It's just a matter of whether you want somebody else to do most of the marketing and have access to larger number of jobs (with the tradeoffs being that you're not guaranteed to getting any
of those jobs, and you'll make less money per job you do get) or doing the marketing yourself which could allow you to make (and keep) more money (with the tradeoff being that you have to do more work to get yourself in front of people).
One isn't necessarily "better" than the other. It all depends on your business model and what kinds of activities you want to spend your time working on.