Screw ons: no light leaks, more compact in case, metal rim adds some protection if dropped, etc.
Square: quick & easy - can add/remove, experiment with strengths, etc., quickly, especially if using multiples. Can integrate with hood (using Lee hood) easily, few filters across many lenses. Cons are glass ones can break easily and more room in case needed for holde and possibly hood. Risk of light leaks, but easily fixed with strip of gaff tape, etc.