If you want to desolder the Dell-ATX connector for cheap, buy some desoldering braid. It's like a thin ribbon made out of copper, and you place it between the iron and the joint and use it to draw solder away from the joint. It's not as clean as a desoldering vacuum gun and there's a bit of technique to it, but I've used it many times to desolder multi-legged components. The size of the ATX connector would make it a bit easier than with other components like ICs.
Of course the real question is, is it really worth it? I see one big drawback. Someone comes along in the future and sees your Dell board with a real ATX connector, but the power supply has gone. This person knows it's a Dell board which needs a special PSU, so they go to the trouble of hunting down a Dell PSU (or getting an adapter), plugging it in to your board and then bang, it blows up because you have the one Dell in the world that uses a non-standard connector (a real ATX instead of the Dell-ATX that all the other boards use.) I think the risk of this outweighs the benefits.
Not to mention that as time goes on, often it's the 'curiosities' that get a lot of interest. Things like VESA Local Bus and its forerunners, or bus mice that look like they have PS/2 connectors but they plug in to a custom card. You might find that as years go on, these unusual Dells have a lot of interest because they are a bit weird, but if you've converted them to be just like every other retro motherboard then that uniqueness is lost!
Personally I don't think there's anything inelegant about an adapter. If nothing else it points out that you're looking at something a little out of the ordinary. Let's also not forget that even if adapters are hard to come by, you can always rewire the ATX connector on the power supply to turn it onto a Dell-ATX one as well. You can get tools to remove the pins from the plastic ATX housing which makes the process pretty straightforward (also very useful for rewiring cheap ATX extension cables to make new adapters.)