I basically always recommend using stored copies of files. Let Zotero take care of managing where the files are located on your computer. It’s useful to not have to manage that yourself. Stored copies of files also let you use Zotero’s built in sync function with either Zotero storage or any cloud provider that supports WebDAV.

Linked files let you control the folder structure of your files if you want to access them without Zotero. They also let you use Dropbox or Google Drive (which don’t support WebDAV) to sync the files. The Zotfile plugin can help with linked file workflows. The downside is that you have to manually manage the files (e.g., linked files aren’t automatically deleted if you delete the item in Zotero). Linked files also can’t be used in Group Libraries.

Personally, I strongly recommend using Stored Files.

Thanks!