I mean either will work but my experience with an Apple Leather Loop is that it gets loose over time as I wear it. Especially when activity is in play. It's not going to fall of my wrist but it is noticeably looser. I don't have a Milanese but expect it to be similar.
When I wear a sport loop, I lock it down and it stays in place perfectly. Every time. So either a sport loop or sport band is ideal when doing an activity. And by activity, I'm not just talking about exercise. This can be yard work, things around the house, etc.
As for which is better? That's your call. Many of us find the Sport Loop to be the "sweatpants" of Apple watch bands because they're just so incredibly comfortable. Looks wise, I'm not sure anything beats the Milanese loop, at least from my perspective.