Kydex offers a SLIGHTLY thinner profile and SLIGHTLY lighter weight. It'll produce less printing under a shirt.
A properly designed kydex sheath can have any level of retention that you might want. I've made them loose for pocket carry so the knife can be "thumbed" out of the sheath and so tight that it'll leave a red mark on the back of your neck from the paracord.
Some folks are wary of knotted paracord for the fear of accidental hanging. In those cases, I've made up paracord sheathing covered ball chains for easy breakaway. For my personal sheaths, I just knot the paracord as I see little chance of being hung by it.
All that said, the stock sheath is a fantastic design with multiple mounting options and alot of flexability for accessories. Kydex has it's advantages but so does the stock option.