Fish farming vs fishing wild fish is like farming vs hunting:

Pros

The main benefit is control over production and processing of the product, cheap to harvest, no competition with other fishermen, improve product quality, secure delivery of fish to the market, and better working conditions. You can increase the production within a restricted area given you have excess to enough food for the fish.

Cons

But, production is expensive, diseases control is problematic, fish can escape and affect wild populations with diseases, hybridization and genetic introgression, ecological competition (between escaped and wild fish), and pollution of natural systems with excess feed and medicine. For carnivore fishes, collection of feed fishes can lead to over-exploitation of natural systems.

Despite the cons that Jonsson provides, fish farming holds a key to achieving poverty reduction and fighting hunger. If you can control production costs, by using locally available non-fish protein sources to produce feeds, then you can cut the cost and increase fish production; thereby increasing protein availability to communities and of course increase income.

Who says it's preferred?! As usual, the answer--if there ever really is one answer--depends on the circumstances. Wild capture has many advantages: The technology is well established and start-up costs may be lower, no need for feed (which often involves wild capture of fish), environmental impact is dispersed rather than localized and may be far less intensive, potential to switch target species at will to reduce pressure on specific populations and take advantage of new or less impacted populations, potentially fewer barriers to entry, may be easier to deliver catch to a variety of market locations, reduced vulnerability to disease, and more. Note that I'm not saying that wild capture fisheries are better than farming operations! The answerS depend on the local economics, social and cultural situation, availability of technology, capital, expertise, management and governance, status of local wild capture fisheries, etc.