You will place a redirect in All Sites when you want the redirect to be active regardless of the domain. Most clients only have their live domain associated with redirects. In that case, this process will instruct it to work on both www and non-www versions of the URL.
You will place a redirect in a specific domain when you want the redirect to only be active when someone specifically types in that exact domain into the address bar.
CivicPlus recommends utilizing All Sites.