It depends, in the majority of cases you don't really lose anything by wrapping your memory management in a vector-like container.
It looks like the Adafruit_PWMServoDriver constructor doesn't do anything beyond storing the arguments to member variables, so in this case it doesn't really matter. If you're working with poorly designed libraries that try to access hardware in constructors, you're of course right, and it might be better to construct those objects in-place rather than passing them to the constructor as an argument and using the copy-constructor.