In an apples-to-apples case, I agree that free buildings are generally better.
What is apples to apples? The building that each wonder provides has the same base happiness (say, 2), the wonders cost the same, and are available at the same tech (or at least both with required techs). I can have no-maintenance free Colosseums or doubled Cathedrals? Why not go free Colosseums, in some cities that saves me 2 GPT in maintenance and I'll never have to build a Cathedral, not to mention the construction time savings.
But there is one catch in theory, and on in practice. In theory, the catch is that the maximum overall happiness is higher if you go for the double-happiness wonder. How important this is depends on the size of the cities and how many luxuries you have, but it may mean the difference between having to run the luxury slider or not. Whether that cancels out the free maintenance is a topic for a mathematician.
In practice, with the default rules, the "apples to apples" comparison doesn't apply. J.S. Bach's doesn't give free colosseums, but effectively also gives +2 happiness per (continental) city, but it requires an extra tech and comes later. The Sistine gives +3 happiness with its doubling, and isn't continental-limited. For both saving a tech and higher bonus (and coming earlier), I tend to prefer it, especially if I am religious and cathedrals are half price. Is that the optimal move? I don't know, but it is the one I tend to favor. The exception being if I'm already maxed out on wonder construction between Sun Tzu's, Leonardo's, and perhaps the Knights Templar, in which case Bach's arriving later is a good thing.