I understand what the difference between the merchant integrations is connected with building a product catalog - why should I not build it?
Well - It depends on your business model, if you're selling the same products at the same pricing to a large number of shoppers, then it's a good idea to work with a catalog. This will allow you to apply setup changes, like setting a new coupon or a price change to a contract affecting all shoppers.
On the other hand, if you're going to sell tailored products with different pricing plans per shopper - so it may be a better idea to use BlueSnap without building a catalog.
Remember that if you're already using Magento, Prestashop or WooCommerce, you can just integrate your cart to BlueSnap and keep your existing catalog at the cart.