I use the pre-built drivers in kernel. No need to worry or anything, just plug-and-play.
You don’t want amdgpu-pro unless you’re doing something really specific that needs OpenGL and OpenCL. amdgpu built-in is good enough for most games and use cases.
Mesa is just a graphic library. You’ll need it.
Edit:
amdgpu-pro may be even worse to gaming then the amdgpu built-in.