I personally never use pre-built libraries. I just don't trust them, what they linked to and whether or not they had viruses on their systems at the time of the build. Many open source projects are compiled by unofficial 3rd parties, especially for windows binaries. People that tend to use shady aliases rather than their real names doesn't help either. Also, many libraries come with extensions that may or may not be included by default. Zlib for instance has zip support if you compile it in. Some people find that useful.
If you statically link against everything (though you will run into DLL hell if dynamically link), you need to rebuild your libraries whenever you switch your CRT, as Reed noted above. This has been a fairly standard practice when upgrading visual studio over the years. Same goes for whenever I update my Linux box.