First, for your title's question
index | ArcGIS for Developers
specifically
arcgis-python-api/samples at master · Esri/arcgis-python-api · GitHub
Can't think of any major advantages analysis-wise... maybe in managing stuff related to esri things.
I tend to use Jupyterlab directly or from within Spyder rather than Pro, but I tend to do analysis and graphing and not managing or mapping
You can use any data you want
... sort of retired...