The pros and cons here are really a matter of personal choice. If you know the differences between a cloud account and a local account, you can choose which one you prefer.
By the way: Who says you have to choose? You can have both, as I do. And you can still sign in to your Microsoft account even if you sign in to Windows with a local account.
The choice between a cloud account and a local account gets complicated in the case of a Microsoft account, because a Microsoft account is not really a cloud account. In a true cloud account, like my Google account, all your personal files are stored online and all the software that you use exists online. There's virtually nothing stored on your computer.
A Microsoft account is really a hybrid between a cloud account and a local account. You can store files on your local computer and you can store files online. You can install software on your local computer and you can use online software.