Personal web page vs Academia.edu vs ResearchGate
As soon as you have even a single preprint, people will begin searching online to find out who you are and what else you have done, so you must have a web page. It doesn't have to be elaborate, and it's enough to start with a few lines of professional contact information and a list of links to papers, but you have to have something.
I think a generic web page looks more professional than one created using a social networking site, but perhaps that's because I'm old. However, there is one absolutely critical issue: the page must allow visitors to download any content without logging in. At least one of the social sites lets visitors view papers on the site, but insists that you create an account if you want to download anything. This is terrible! In my experience, nobody's going to create an account unless they really, really want that paper, and either way they are going to be unhappy at the imposition. Offering access to papers and then harassing anyone who tries to download them leaves a very bad impression.
Perhaps it's different in other fields, but in math, it isn't pretentious for a PhD student to operate their own website, and it's quite common. (Most schools, at least in the US, provide the space for students to host a personal website.)
Furthermore, I'd say that after a couple years, a PhD student (again, in math) absolutely should have a personal website. Formats oriented around published papers or formal CV aren't very useful for giving information about a grad student because there isn't that much of either. If I meet someone or hear about them from their advisor, and want to learn more about their work, a personal website is best way to get some information about where they're likely to be when they finish.
Personally the professors and PhD students I remember well are the ones with an elaborate page for themselves. From what I have learnt from this site, a PhD is simply not merely about publications, citations and academic work. You need to build contacts, make friends and network in the academia, which as such is a small place.
Having a page for yourselves is hardly pretentious. It is just like having a Facebook profile or a Twitter account, a means to show others that you are alive and kicking. And publications are not the only thing you may have there. Add a lot of extra-curricular details, your non-academic passions and interests, some photos that may make people take interest in you as a person.
For further details, I would like to redirect you to some wonderful answers to the question I asked here.