Marriott Rewards and Starwood Preferred Guest are essentially the program and are in the process of being merged (this will start happening in August) as Marriott bought SPG a while back, so shouldn’t make that much of a difference.

That being said, my rule of thumb is that you should always earn points in the native program, unless you are worried about orphaning points in that program. Any time you transfer/earn points in another program you lose a bit of value as real cash changes hands between programs, and the companies will want to take a cut.