I haven't used AI as within the Highland breed there are relatively few stallions licensed for AI and I have my own stallion here and a couple of good outcrosses locally to use..
From stories I've heard from owners that have, the fresh semen is far better than frozen in terms of fertility and natural service far better than AI likewise. Not to mention very expensive and frequent vet visits to pay for on top of what is actually done.
In the current market I wouldn't recommend it - as someone else has pointed out, there are risks to any mare you breed from, there is a lot of expense and hassle involved in breeding your own foal (even without AI costs/hassles), and you can't choose what comes out - breeding is not an online ordering system and even the best bloodlines can produced a problem or a pony you simply can't use or sell on.. If you really want a foal, buy one at weaning and save yourself about £1000
plus you get to pick one with all the features you most want and leave behind any that have even the slightest question about their suitability for you.