When I use the second method we were talking about (fat>veggies>flour) I sometimes have a roux that is a bit dry from the veggies grabbing hold of the flour, and the flour moistening with some of the water in the veggies. I might add a bit more fat, but as I said, I only use this method for light Rouxs. I often find that this type of roux is easier to get lumps with, because as you said, a separately cooked Roux has it's flour particles suspended in fat (and this method isn't as thorough). So I usually whisk at a pretty good pace when I add liquid to the fat>veggie>flour method. I use this method for my veloute, bechamel, and pan gravy sauces.
Making the roux separate is probably convenient and much more speedy in a commerical kitchen, but it just seems un-natural and artificial in the home (for me at least... I'm just odd like that).
Nick ~ "Egg whites are good for a lot of things; lemon meringue pie, angel food cake, and clogging up radiators." - MacGyver