We currently use WiX for building our MSI files, and as such it is the only MSI builder I have had experience using. I know you can build installers natively in Visual Studi
WiX creates MSI packages which use Windows Installer. So WiX uses the Windows Installer engine.
Visual Studio is just a WiX alternative, just another setup authoring tool. I don't recommend it because it's extremely limited. It offers only basic features.