When disk manufacturers like WD talk about built-in encryption, their implementation is usually of the "hard coded" variety. This means that a determined hacker who has reverse engineered the code will be able to access your data because the same encryption code is use for the WD disk bought in London or Washington. Or, more likely, if someone gets your disk and really wants to access your data, they will download a decryption utility from GitHub and decrypt your disk that way - even without have the passphrase.
But when you use the flavour of encryption that comes with Disk Utility, you are just activating File Vault. This is much safer than "hard coded" encryption. This uses AES-256 which for the average person or hacker in 2020 is impossible to crack.*
*But in 10+ years time when quantum computing goes more mainstream, AES-256 will probably become "crackable". But in the meantime, it's still considered very safe.
