I've caught some of the native fish in the past....bluegills, pumpkinseed, and some gambusia. The only major difference I noticed is that they will be very skittish the first week or so until they get used to being in a tank and having a large strange shape come around the tank too! Once they get the idea that you mean food, then they behave like any other fish.....
You have to remember that when this hobby started, ALL of the fish came from the wild. Some have managed to become domesticated, some haven't.....either way, there are drawbacks to both sides. Some fish are never quite comfortable in the aquarium and won't breed or thrive, others that have acclimated to captive life lose out on some of their basic instincts. Look at some angels that consistantly eat their eggs, some fish that will breed with other species......
Intelligence wise, well there has to be something there, although for the most part not that much. I would guess that predatory fish have more smarts than say a tetra.....fish that hold a territory more so than ones that don't (after all, they have to remember where their territory starts and stops!).