<p>There's a diagram depicting the difference between traditional MVC and Cocoa MVC here:</p>

<p><a href="http://developer.apple.com/documentation/Cocoa/Conceptual/CocoaFundamentals/CocoaDesignPatterns/CocoaDesignPatterns.html#//apple_ref/doc/uid/TP40002974-CH6-SW1" rel="nofollow noreferrer">Cocoa Design Patterns: The Model-View-Controller Design Pattern</a></p>

<p>Are there any benefits of doing it the "Cocoa" way in .NET using Visual Studio?</p>

There's no reason
not
to do it that way, if it makes more sense to you. Be aware that a lot of things in the Cocoa framework are the way they are due to higher-level design decisions, for example favoring composition and delegation over subclassing.
If you want, you can design C# software that looks like Objective-C software, but people with no Cocoa experience will have to have it explained to them, because the loosely-coupled design will just seem "weird" to them.
Oh, right - the advantages of that design include greater re-usability of the UI view and model classes (since they won't have any knowledge of each other), slightly simpler code in the view classes, and more of the "application logic" in a single place (the controller classes).