Which implementation is better for custom breadcrumb and why?
When you build a module which for example provides a new content or entity type you can include a breadcrumb builder, because you might have data fields that the standard breadcrumb builder doesn't know of and you want to process them in your breadcrumbs. An example for this would be  Drupal\book\BookBreadcrumbBuilder from the core book module.

When you build a theme and want to modify the breadcrumbs already built by the installed core, contrib and custom modules you use a theme based solution in a preprocess hook.

So best practice depends on which level you are working on. Not a good idea would be in this example if the book module would use a preprocess hook.