I've work with all TGC Languages: DB Classic, DBPro, and DGDK. Each has it own level of convenience and difficulty. Considering DGDK/C++ is freely available, and the multitudes of C++ online resources, there really isn't a comparison. Just download it and start using it.
However, with
DarkGameStudio, you're paying for more convenience and ease-of-use to get your game up and running quickly, if you can work within its capabilities. That's what its design to do and it does that very well. If you want more low-level control and more challenge then take on DGDK/C++. DGDK is a wolf is sheep's clothing, once you get a taste of C++/OOP you will find yourself abandoning its innocent procedural implementation.
It really depends on what you want to do and how much time and money your willing to put into it. I've been going at the
DGDK Open Source Project (DOSP) for 2 years and I'm barely starting to understand what I'm doing. I've refactored over a 100 times in the last 2 years, and I still don't have a basic FPS game running. Today, DOSP doesn't even include DGDK anymore!