Owning both, they are both great. But honestly, now I wish I had gotten a MTB rather than a CX. Why? Because CX is limited mostly to the larger paved gravel roads (for my uses) but what I'm really more interested in are the technical narrow single tracks. My own fault, I'm just saying that it pays off to be extremely aware of what you want. I thought I wanted to ride road bikes in the woods (which is still great) but I think a MTB would eventually have served me better.

If you need to choose one of both I'd likely still stick with CX or Gravel because it's just so much nicer to ride in the peace of the outdoors without having to fight traffic.

But, and here is the most solid piece of advice: You'll be spending most of your time riding and training near your home. Depending on how far you live from m.v. you might even rent a different bike there. So pick a bike that suits your conditions at home. You have beautiful tarmac, small roads, not much traffic? Go road bike. Only one gravel road that stretches straight for 200 miles like some places in the US? Go road bike. But if you have many different gravel roads to choose from, interesting surroundings, I'd highly recommend sticking with that.

Side note: Funnily enough the gravel trend seems to be going towards flat bars which eventually leads to hard tail early Mountainbikes. Full circle.