To me, this is a "how are you going to use it" question. If you are going to only be using your CPL for shots where you are already using your filter holder, in combination with other filters, then I can see paying the extra and get the Lee. For example, if you are primarily taking landscapes. But, if you are going to be use the CPL without the filter holder, you may want to consider the B+Ws.
I mostly use my CPLs without the holder (I have the cokin) and without other filters, so I have B+W screw in filters. When I am using my CPLs, I tend to put it on the end of my lens for a long period of time (usually bright days near water). I like the fact that the screw in CPL essentially replaces the UV filter and you can still do all the normal activities; walk around, take different shots, use the lens hood (after dialing in the CPL), put the lens cap back on the CPL and then store the camera. Sometimes I am in a kayak, on a boat, or at the beach. It is very secure and conveinent. This would be more difficult with a lens holder. So, the Lee CPL doesn't really fit my primary use.
I have screwed in the cokin filter holder adaptor into the B+W CPL. It works and really isn't that inconvenient, especially as I don't need it too do it often. Also if I am using my filter holder, I am already slowing down to take a deliberate shot and can handle a little inconvenience.
BTW, sometimes I've noticed a color shift (slightly blue) when using the CPL or at least a change in the color temperature (but warming it up in post doesn't seem to help). I've been tempted to try Singh-Ray's "Warming CPL" seems designed to counter this effect (link). I'd be curious to hear what others think or if they have tried the warming CPL.