Most importantly, go with the effect that helps you achieve the sound you want. If you like the synth’s built-in distortion better than the DAW’s, use it. If you like the DAW’s reverb better than the synth’s use it. If they both sound good to you…
If you’re using the effects as a sound design tool to shape your sound, I’d go with the built-in synth effects. This simplifies things and keeps all of your sound’s settings in one place.
If you’re using effects for mixing purposes, and tweaking an established sound so that it plays nicely with the other tracks, then I would use the DAW effects. This is particularly important if you’re using a DAW with a mixing console, as it’s nice to see all of the mixing effects side by side, separate from the individual sound design effects.
But to be honest, in the moment I’m just grabbing an effect from either the synth or DAW without thinking about it. And as long as I achieve the desired sound, I don’t really care either way.