We have three different different AD domains - one on prem (well at colo center) and two separate AWS environments. Getting them to be friendly with each other isn't possible. Since the local VSTS agents poll and only need outbound connections, I don't have to deal with firewall issues or domain issues. Also, I can run a script in parallel across as many agents as I want to. You can have as many concurrent agents running on a VSTS account as you have MSDN licenses.

Besides, I already have sane deployment groups and tags defined by server environment and function. I might as well leverage them.