The overall plan from Micrososft is to replace build artifacts with pipeline artifacts.
Refer: https://github.com/MicrosoftDocs/vsts-docs/issues/2341#issuecomment-439483135
I would say, stick to pipeline artifacts because it's future proof and you don't want to end up with a pipeline that stopped working all of a sudden.
Currently these are mainly used in the following two use cases (only because people who operate in these areas are comfortable with them);
If you are using pure yaml pipelines and if you need the artifact to
be available in the next stage of the pipeline then you use
Pipeline Artifacts (Next-Gen DevOps).
If you want to use the releases section where you need to use the
contents from an Artifact then you still need to use build
artefacts. (Old School TFS DevOps)