It is personal. I use the bridge. Apparently it has a better range than Homey. Also, firmware updates happen with Hue (not so much with Innr for example). Homey cannot install these updates. I like to connect my switches to lights in Hue instead of Homey. It would mean a lot of flows if I move everything to Homey.
A reason to connect to Homey directly is if you want a single mesh network for all your Zigbee devices (Hue and others). Another reason might be if you dont want to share/send data to Philips, you don have to use the bridge. Last but not least: Homey can function without internet, whereas the Hue app requires your bridge to be connected tot the internet.
