Actually yes! We have which is where we are supposed to post our "Behind the scenes" videos (basically for all the "pros" reasons you listed above and a few more). Coming from a web development background, setting everything up was the easy part. Honestly for us, it's finding the time to keep the site updated that's hard. I still do want to drive traffic to it because it could potentially be a good source for new traffic and also revenue, but between filming and everything, it's just very difficult. But I think Cole (my brother from our channel) is going to start taking over the website and try to keep it updated with new blog posts and stuff.
Edit: We also post our main videos there, but I don't think we would ever not post those on YouTube. However, I do eventually want to make website exclusive videos in addition to our YouTube stuff.