I think thru-pin pedals are a no-brainer, why wouldn’t you?
Weeelll… Grub screws can give more grip, they’re effectively all “edge” so dig into some shoes better. And the advantages of thru-pins aren’t all that clearcut, ime once the pin’s damaged enough that I want it out, it’s too damaged to thread back out anyway- need to cut the top off.
Some folks reckon that thrus are inherently weaker- you’ve got a bigger hole in the cage basically. Not sure if that matters.