Yes, absolutely with you with those "long delays" and the blame thing that they do when money disappears in the system. I've been there with my bank a few times and it can get a little stressful.

Really depends on which country you have to transfer the cash to.

Even if you do go through you bank, best that you tell them because it might trip a money laundering alert on your account. Your account will be frozen for a while whilst the bank checks everything is legit and you don't need that kind of hassle.