Implementing direction of a 1:n relation with entity-reference
Your claim that "With the first implementation (A type with a multi-value field) I give the user the possibility to sort the related entities, which is not possible with the second implementation." is false.

Some things may be easier one way. Other things may be easier the other way. But ultimately, with Views you should be able to accomplish pretty much anything with both of these approaches. So use the one that's natural for your data.