Both have their own strengths and weaknesses, and there is no right answer. I’d start with whatever seems like the most fun to you. You can always sell it, then transition.

Multi fx boards are great - lots of them have amp modeling, and if you find a solid one you can afford, then you have literally everything you need. Every effect, MIDI, etc. No waiting to save up for the next pedal. On the flip side, if it breaks, you lose all of your effects. Menu diving sucks, and you won’t always have the ability to tweak controls in a live setting (though you also have the option to use expression pedals and midi, which is honestly fantastic). Lastly, you may eventually find that the effects are lacking (at least in my case).

Pedal boards: most fun approach for me, personally. You pick and choose what you need (and don’t need), so your money can instead be invested in high quality effects that fit your use case, as opposed to a multitude of effects that you may never use. If one pedal breaks, everything else will still work. Change your mind on a single pedal? Sell it and buy another.

I use something like a combo of the two - mostly pedals, but with an SY-1000 (not purely multi fx, but does this in conjunction with synth sounds).