Alu are fine if you prepare well, though I wouldn't like to use them in rims that are not eyeleted or the eyelets don't form the base of the nipple bed but that's just me. Just not as easy to work with. Of my last wheel with Wheelsmith Alu nipples (some 17ish years old, only one spoke had to be cut as all the other came of fine.
Flaws with using them (Alu), they tend not to be as smooth to turn under tension. Much easier to mash them up, if you slip or of course use the wrong spoke key.
Brass are just easier to work with and harder to bugger up, if you've not built many wheels I would use brass to start with.
Not sure why you want to use the DT Swiss prolock I know they are brass or Alu but not sure how they colour the brass version, but you're paying to have some thread lock put in them.
I like the Spokey (now M

art and DT swiss make/rebrand them also and no I don't know why DT swiss charge £10 more than M

art or similar just to have a cross in the plastic) over the now Park Tools style spoke key.