The conversion can happen in Photoshop, at Export via the Output tab, or at output in the RIP. If the destination profile (and color intents) are set the same way there will be no difference in the results.
A conversion to CMYK in Photoshop or on Export could be a problem if the wrong destination profile is used. However an all RGB workflow could be a problem if there is out-of-gamut color and you don’t have Overprint Preview turned on—in that case you might mistakenly assume the out-of-gamut color is printable.
Most online printers (where the output is automated) still request all CMYK PDFs because of gamut problems.