It doesn't matter. It will work both ways. I guess it just depends on if you want to run a CO2 line through the wall and free up some space for another keg or keep it simple and put the tank in the freezer. For me I can leave it in and fit the same number of kegs either way.
The gauge that shows how much pressure is in your tank will be lower if you put it the cold kegerator, but it will last just as long in or out.