There are a number of "ICs" that have the inductors and capacitors inside.
SR78/1000 is a TO-220 looking switching regulator. Built to replace a LM7805.
See the data sheet for a LMS7805.
I can't find the part now but I evaluated another TO-220 switching regulator that replaces a LM7805.
There are a number in strange packages.
I don't use them because I can make it. If you volume is low they work well. No engineering effort.
The part you showed, DigiKey said it is switching but I don't think it is. Look at the data sheet. It looks like you can switch on/off the supply. I think it is linear.
I also attached a data sheet from Linear. They have many switchers with the inductor inside. This is just one.
"Is there any advantages to fully enclosed ones vs external component ones? " You don't have to think about the parts. Power in/power out, very simple.