the reason why the sata power connector is hot swapable (or at least safer the molex to hotswap) is that from what im told, the pins inside the connector are arranged in different positions, instead of inline with eachother, this is so when disconected from a hard drive, it causes certain power lines to be removed first, and the ones that get removed last will be the first to be added when its pluged in again.
im guessing this is so when its removed, it can step down the power isntead of just sudenly stoping the power alltogether, and when its pluged in, it can start up again on low power slightly before raising to full power, instead of jumping right to full power.
i think its because of these precautions on the sata power connector that you can just remove a drive using it at any time (albeit with some data error if its in the process of writing), where as to safely do it with a molex connector you have to use the 'safely remove hard disk' button in windows.
so as far as using molex vs sata connector. if you dont plan on using hotswapping, then just use whatever is easiest for you, like if you are running out of molex connectors, use a sata one, if your sata connectors are all in use, simply use a molex. or just use whatever cable reaches the drive best.