I would say that it depend on what you want/need to do with the picture. This is mainly because there is no present way to export the masks to Photoshop (since they are stored as bitmaps, it should be easy to do for Adobe).
In LR, masks are stored in the file structure <Catalogue name>.lrcat-data, in ACR there is a new "sidecar" in addition to the regular XMP file, so take those in consideration for your backups.
If you can do all the edits in LR, then use the mask there, but if you need further options such as replace sky or select object to replace background, then do that in PS.
Something else to take in consideration, is that "Select Sky" is not based on the raw data but on the current rendering. If you don't believe it, then just move all Tone sliders in the Basic panel to the left and select sky.