Which authentication is better for MS-SQL Server 2019 : integrated security=SSPI vs uid=sa;pwd=xx | windows auth vs sa auth
Security Difference
You can find that on the Connecting Through Windows Authentication doc:

Windows Authentication is the default authentication mode, and is much
more secure than SQL Server Authentication. Windows Authentication
uses Kerberos security protocol, provides password policy enforcement
with regard to complexity validation for strong passwords, provides
support for account lockout, and supports password expiration. A
connection made using Windows Authentication is sometimes called a
trusted connection, because SQL Server trusts the credentials provided
by Windows.

Performance Difference
The existing performance difference between these two methods isn't enough to advise you to choose SQL Server Authentication over Windows Authentication to gain any performance improvement in detriment of security. Therefore, if you have the option to use Windows Authentication, use it.
As J.D.'s comment says, storing credentials is not the safest option and even the performance disadvantage of Windows authentication was mitigated with SQL Server connection pooling as mentioned by Dan Guzman. He also added:

I tested 10K connection open/close requests in my test lab on bare
metal. The average milliseconds per connection were: SQL auth with
polling: 0.10838721, Windows auth with pooling: 0.12424151, SQL auth
with no pooling: 2.66011692, Windows auth without pooling: 3.2432628.
Consider that query execution rather than connections will likely be
the long pole in the tent.