Either or is best depending upon WHICH ONE YOU PRACTICE WITH
One concern I have with integrated is, as stated by others above, they may fall out it not properly installed. That being said, I prefer to dive integrated (but frequently practice removal on a platform with my buddy)
Concerns that I have with weight belt are:
-- They stretch when wet. Unless you prewet them, or tighten it once you start your dive, it can end up around your knees
-- Dumping weights when integrated is 'easy' regardless of position in the water. If you are horizontal, how do you drop your weight belt without rotating your body or pulling with your right hand (thus throwing yourself off balance). If you are vertical and heads up unless you immediately drop it after release you again risk being pulled around.
No matter which method (or combination of styles) you use, practice, practice, practice until it become automatic