I started by connecting ST to HA. It let me learn the interface and automations and slowly transition without breaking what I had, so that's an option.
Beyond that, it's mostly device specific as to whether something integrates easily in ST vs HA. Most issues I see are with cloud services that might have had an official integration with ST, but unofficial with HA and they break sometimes.
Speaking of breaking, HA development is much more active than ST so things are constantly changing. I try to keep up with the monthly blog post and pay attention to the breaking changes section before updating, so it's much more hands-on than ST.
I've also personally moved many things from zwave to WiFi with ESPHome and Shelly. Wifi devices can have cons, but if your network is built with IoT in mind you can mitigate a lot that. I like that things are accessible over the network or even as a direct connection without needing the hub.
Overall, I'm much happier with HA and the experience has improved drastically in recent years. It's a fun hobby.
Good luck!