Both ways do work. If you cut the V into the scion the method is called saddle graft.
I’d say when using the grafting tool it makes no difference where you cut the V. If doing cleft grafts by hand I would always prefer to split the stock, not the scion, because of the stability/pressure the stock provides to the graft as fruitnut pointed out. I believe this to be true even when using even sized rootstocks and scions, but then the difference should be more marginal. I have no data about this last point though.
Stephen Hayes from England did a lot of videos about apple grafting. He prefers the saddle graft over other methods it seems. I don’t see much of an advantage over the cleft graft. But he is cutting the V in a slightly special way. He does the sides of the V quite long and thin. That way he is able to ensure very good cambium contact. I tried this method some times but did struggle when wrapping the graft, cause the saddle done this way has no internal stability, while a simple cleft graft has.