No, in my experience, they are both equally valid options. If you ever need anything more advanced such as watch folders or something, then AME is a good tool for that, but for getting a video out of Premiere, which is the main reason you appear to be enquiring, both will achieve the same thing. Very occasionally, one method may fail during export, and the other one will work, but generally, export failures will be an issue with the project/footage or hardware setup, more than the software.
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