Since Southwest points are worth 1.4 cents, $500 in points are about 35,714 points, while if you buy the $500 gift card for $430 and use pyb at 1.25 cents, you will end up using 34,400 points. So there is a small savings there.
The counter side of that is that if you transfer Chase points directly to Southwest, you can transfer the points only when you need them as opposed to now having some $500 gift cards lying around. As others have said, Southwest can move out of a market at any time without much notice and you don't want to then be stuck with their gift cards. Also, if you need to cancel a flight, points are much more versatile that flight credit which gets tied to the person who used it (on wanna get away flights.)