Both methods have different advantages. Bitmaps (at least for 1-bit images), are quick to draw to the screen, but they take up more memory and don't scale well. If you want to have them at several different sizes you have to create several different cast members, or else put up with badly pixellated (jagged) sprites.
Tools palette objects, on the other hand, can be slower, because the computer has to work out how to draw them properly each time. But because they are based on an abstract description, they can be scaled easily and always appear smooth (as smooth as possible, anyway). In most cases they also take up much less space in the cast, because only a brief specification needs to be kept, not a pixel-by-pixel copy.
Tools palette objects have the advantage that they can be changed as you go along: you can alter the width of a line or edit a piece of text. Bitmaps have the advantage that you can't do this -- and neither can anyone else. Bitmapped text, for example, doesn't depend on having a particular font installed on the machine your presentation is playing back on. It will always look just as it did when you painted it.