The main thing is to avoid wrong formatting for an sd card as has existed on some revisions of Windows.
Not 100% sure, but my memory is that the phone's built in formatting conveniently creates the folders that HTC and Android are expecting.
I suspect that unless you have a need for deep formatting (with a wipe), as may happen with an older card, then the phone format is fine.
SD cards have a limited number of write cycles before they go wonky. Deep formatting or wiping reduces that big number by a little bit.
So personally, I stick with phone formatting wherever possible.