I don't have a waste option, so I always vacuum on filter. And I have one of those easy-clog DE filters.
If you're talking about mountains of debris that would fill a wheelbarrow, use waste. If the pool is so green you can't even see what you're vacuuming, use waste. If it's just what would be a few handfuls, filter it out. Less water wasted on a backwash than on vacuuming to waste. That means less rebalancing. Unless the chemistry is messed up and you need to replace some water. Then use waste.