It all depends on what you plan to do afterwards if it's done after AE then I see no reason not to finalize it, image sequences are often bigger in file size, especially DPX/EXR etc.
if you want to save it as an image sequence I would store them using RLE compression like the RGB /SGI format, this also depends on your footage of course.
Otherwise just render out a MP4 file if it's only for viewing on your computer