For every entity selling actually wild African cichlids (or F1s) there are probably several who are selling pond raised fish (or babies of pond raised fish) as such.
I trust Dave without question on African cichlids.
There are a limited number of exporters of fish from Malawi and Tanganyika and fish that aren't on their export lists have a very low likelihood of actually being wild.
Are wild African cichlids "worth it"? I guess it depends. Having verifiable F1 fry from wild fish will certainly make them more marketable to the people who value the provenance of fish. So it could be "worth it" if trying to sell the offspring to people who believe it's worth it (although, again, with all of the people selling fake wild and F1 fish, it's made it that much harder for anyone to get any decent money for fish).
Will mixing wild fish into a group of captive-raised one improve the coloration, health, etc. of the offspring of the group? Maybe. Or maybe not. If you're mixing fish of unknown provenance of fish from known provenance, the offspring are of unknown provenance. There is an assumption that wild fish are - by definition - more colorful, larger, "better" than captive bred ones (with deterioration in man-desired aesthetics with each successive generation from wild). This simply isn't the case (and sometimes just the opposite).
As Christine noted, there are a lot of real issues that come with real wild fish. Parasites, behavior, cost, impact on wild populations, higher losses, etc.
My advice: get captive fish of known provenance from a high quality source like Dave. And don't mix them with random fish from here, there and everywhere.
Matt
PS When Ad Konings spoke about this at AquaMania a couple of years ago, I proposed (tongue in cheek) that all of the people selling colorful, captive bred Africans as wild were probably the best thing for all involved: There is no impact on wild populations, vendors can sell for decent prices (without the shipping/losses associated with actual imports from Africa), hobbyists can tell everyone that they have the best, most colorful, rarest wild fish and not have to actually deal with all of the issues of having wild fish.