Nothing says you have to do those programs exactly as they are on the machine. It's cold in the winter here, so when I was starting C25k, I did it partly on the treadmill. I just turned the treadmill up for the running part (whatever's comfortable--I think at first it was about just under 4.0 for the running part) and turned it back down for the walking part.
In terms of whether it's better or not, people are different. The treadmill is softer on their knees and feet than roads or sidewalk. Some find it more difficult to run outside once they've been on the treadmill for awhile. I did find it a bit of an adjustment when I got outside (more difficult to run), but eventually got there. "They" say that it's good to run on a variety of surfaces because you use different muscles and that adapting is good for you.
As long as you change the running increments gradually, you'll be fine. Do what you can do and work your way up. When I first started I was doing 30 seconds of running and about 3 mins walking...then 1 min and 2.5, etc. I remember having to repeat weeks of the C25k (I think I got stuck on the three minute run increment FOREVER), but I can run 15k now. Over the years, I've had to work my way back up once or twice, but it's easier the second time around.
I'd love to have the room for a treadmill at home...winter fitness would be much easier
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