The pros of twist-on activation are that it doesn't create an additional water entry point in the light, as some switches do. It is mechanically very simple and reliable. The downside is that, if you overdo the "twist-off" you can flood the light, and some lights are sensitive to being turned on with pressure, so you have to be careful to find the right place between "will come on without you knowing it at 30 feet" and "will flood at 30 feet".
The pros of switches is that they are generally either on or off, and don't self-activate. The problem with switches is that they are mechnically more complex and therefore, as with anything else exposed to salt water, prone to fail. Switches which penetrate the light shell can cause flooding. Those which don't (as in the magnetic switches) can fail due to misplacement of magnets.
We have tried more backup-type lights in the last six years than I can ever remember. Few were cheap, and every single light we have ever owned with a switch has failed, so I'm back to twist-on lights. The Dorcy Penetrators are inexpensive and have been very reliable, although I have heard some reports of the lens cracking at technical depths.