I think it depends whether you're out specifically to take photos, or if you're out enjoying life and happen to take some photos on the way.
For the first case, out specifically to take pictures, then you're more likely to stop, set up your tripod, line up a grad filter, etc. Which is all very good.
For the second case, where photography is the secondary reason you're there, then for the small additional benefit you may get from using a grad filter on the camera, you can get a near identical result from applying filters in Lightroom / whatever other software, and can do it when you're home and have all the time in the world, rather than faffing when you could be out enjoying the scenery.
No one way is better, depends entirely on the circumstances. Obviously that assumes you don't completely burn out the sky, but that's like saying you can't use a flash because you might burn out the nearest objects - if you use the camera right, you will make sure the pictures you take are suitable for the purpose for which you intend to use them!
David