There are quite a few problems with in-wall speakers. First, unless they have an enclosed back, the effective enclosure will be completely variable from one place to the next, and will not be something designed to be a good speaker cabinet. Speaker cabinets affect the sound.
Also, once a speaker is installed, it is extremely difficult to move it. Sometimes, moving a speaker just a couple of inches can significantly affect the sound. So with an installed speaker, you need to get it right the first time, or it will just always be bad, unless you go to quite a lot of trouble.
Furthermore, you cannot rearrange the room with in-walls, without tearing out your speakers and reinstalling them elsewhere. With a dedicated home theater room, that may not be an issue, but you had better figure out the exact arrangement you want before installing the speakers. This includes seating height as well as location.
And, of course, the choices are fewer with in-wall speakers, and they are not usually aimed at the audiophile market, so one typically can get better speakers that are not in-wall units.
Most speakers sound their best away from the walls, which you obviously cannot do with in-walls. Of course, any decent in-wall speaker will be designed with its installation in mind.
Now, if I were buying from scratch, and if I owned a house with a dedicated home theater room, and if I did not plan on ever moving, I would look into in-wall speakers myself. But I doubt I would end up getting them.
What I recommend that you do is go out to all of the local audio shops, and listen to all that they have in your price range. Try to find some shops with in-wall speakers and listen to them. After listening to everything you can find, then decide what you want.
This process is time consuming and quite a lot of trouble. But it will help avoid making mistakes about what to buy.
