Having recently played my first-ever techno performance using a Beatstep Pro, a Volca Sample, a MFB Tanzmaus and an Organelle, I can see one benefit of syncing the Volca to the BSP over sync. It's a benefit that will probably not apply to many people, but here it is:
With the Organelle, you can modify incoming MIDI data and generate new MIDI data. In my current setup, I use the BSP also as a controller for the Volca Sample, where I send MIDI to Organelle (out of the knobs on BSP) that get transformed to various MIDI CCs for the Volca SAmple (that runs using 10 MIDI Channels). This means I can change the Length of three sounds at the same time with one BSP knob while the same knob also changes the Hi Cut. This is impossible to do on the Volca itself obviously. However, this setup has (or had) one problem. I have to route the MIDI clock from the BSP to the Volca Sample over the Organelle, which can be problematic (though I haven't really noticed an issue yet). After writing the first version of this post, I realized Arturia did add the Korg sync feature, so now I can sync the Volca with one cable and send MIDI to it from the BSP over the Organelle!
Controlling the Volca Sample over an Organelle or some other small computer that can generate MIDI turns it into something entirely different. Granular synthesis, amazing textures, etc are all possible with realtime control. Highly recommended. Turns the Volca into something more than a sample-based drum machine.
I do also use a MIDI Thru box to sync everything else and works just fine.