There is a reserved section of the train for LH passengers, and there's even (minimal) catering for the LH pax on the train. Car rental counters at the Cologne train station are a few steps from the tracks, so no more/less convenient than CGN airport. I have done both and both are relatively easy. For me it would depend on how long the layover is in MUC, and where I was staying in Cologne. If you're in the city center you don't need a car anyway and will find it hard to park. If you're going to the suburbs, then CGN and rental car might be better, depending on which suburb.