Here's my two cents worth.
Pulling from over 20 years of horse experience and talking with friends and customers, when it comes to western tack most prefer chicago screws to hold the buckles on. This allows people to change out the buckles if they want. For instance, if you win an award buckle set you want the ability to put it on your headstall. Most people know to check their screws periodically and most like me secure them by putting clear nail polish or Loctite on the screws prior to screwing them in. It woks very well. I did a small poll and and it came out to roughly 1 in 5 preferred their buckles sewn on or permanently attached. (Those that I asked were predominantly barrel racers like myself.)
For english bridles I say definitely sewn on. It looks cleaner for showing and when I competed in english (13 years or so) I never once changed out my buckles. But I have several times since I started barrel racing and roping.
I hope that helps!!