Another consideration: changing email providers. Any email address using your custom domain can travel with you to other providers, where you can just set up another catch-all address. Aliases are specific to your email provider, so if you want to switch, you'd need to manually go to every site and update each login to a new alias.
And you can always get two domains--one for your more sensitive stuff, and a cheap generic one for the rest. A lot of domains are dirt cheap if you don't care what the TLD is.
Catch-alls are more easily traceable, yes, but depending on your privacy concerns vs convenience (and your fear of getting locked out of an account if your alias becomes unavailable, for example), it might be worth it for you.