from what Rixasha said the builtin version apparently works better for him, at least in the case of Mirror's Edge.
My system openal is setup with hrtf for positional audio with headphones. With wine using its builtin openal, this just works.
I suppose that it would be possible to do the same with the windows-native openal, but it requires a new enough openal-soft library, hrtf data files, some extra configuration that I'm not at all sure how to do in windows, and wine probably complicates the setup further. I hope they're not getting rid of the builtin openal support, although I guess there are not really that many games that use it.