Kind of like "elbows", everyone has an opinion about which is best. I've had both pan and cooling line sensors and both give you information about how hot the transmission is. I prefer to know quickly when it is producing heat that could lead to problems. That way I can modify my driving to cut it back. With the probe in the pan, you don't know about heat buildup until all the oil and transmission components have reached the target temperature. At that point it takes a lot longer to cool things down to better levels. It's just a matter of not letting it go that far.
Either way works, you just need to know what the gauge is telling you and act accordingly.
Dan