Personal preference. Linear mode covers the full story and just cuts out bonus repeatable scenes (be it repeatable sex scenes or just small bits of dialogue) that are used to raise your stats with a character in sandbox mode. You can switch between both modes at any time from the settings menu, so if you're not sure, you can start out in sandbox so you don't miss out on anything and switch to linear if you're not liking that (you can always switch back to sandbox to check out any of those repeatable scenes).
That said, linear mode seems to be the most popular of the two among the people I've talked to on the Discord server.