Use a Markdown preview when you want to see how headings, lists, tables, links, and code blocks render as you write. Keep the Markdown source editable until the text is final.
Use Markdown to HTML when the destination specifically needs HTML. Inspect the converted output in that destination, because Markdown dialects and HTML sanitization can differ. Verify links and complex blocks rather than assuming the preview and published page will match exactly.
The choice depends on whether you are checking appearance or producing another format.