It's a good idea to be comfortable compiling/packaging your infra from source (including interpreters, libraries, etc), if only for the ability to quickly apply and deploy emergency patches. To demonstrate the importance of that capability, look no farther than Heartbleed.
While distros are usually pretty good about updating critical software, they shouldn't be your only line of defense, except perhaps if you have a SLA or something.
I agree, although I'd stick with packages for almost anything as it's just too much work to keep up with every release of every piece of software in your stack (except for, as you mentioned, special circumstances like Geartbleed). Plus, since in this case the repository is managed by nginx.org, it's hard to beat them to a new release even if you compile from source.
> It's a good idea to be comfortable compiling/packaging your infra from source
Would highly recommend becoming comfortable making your own packages (with any security updates, misc changes, etc.) over compiling and installing your own stack from source - distro packaging really is mostly your friend.
nginx still has a critical bug with SPDY and proxy_cache which causes connections to be aborted on cache hit. SPDY with proxypass+cache is fairly unusable without this patch.
While distros are usually pretty good about updating critical software, they shouldn't be your only line of defense, except perhaps if you have a SLA or something.