It generally makes sense to do the "obvious". If you're processing line by line, start with "The lines in:" -- if nothing else, you'll thank yourself when you go back to look at the macro next year!
"The lines in:" also appears (only a quick test) to be line-ending agnostic -- you can even mix %Return% and %LineFeed% in a text block and still get every line back. That may not seem important -- you generally know the line-endings of any text you use in a macro -- but it is one less thing to worry about, and can make a big difference in a sub-routine which you could throw random text blocks at.
A quick test suggests that if you are processing every line the methods are about the same. But the substring method is faster when you have lines that don't match, and the more non-matches you have the faster it gets (which makes sense!). On my iMac, processing a 548-line variable where only 1 in 4 lines match:
- "For each line then regex" -- ~1,650,000 microseconds, ie 1.65 seconds
- "Substrings" -- 416,000 microseconds, ie 0.41 seconds
(Variation in run times and rounding to "obvious" numbers may make that look neater than it actually is but, again, logic suggests that processing only 1/4 of the lines should mean it takes 1/4-ish of the time.)
But I wouldn't get hung up on that -- the test was just dumping the match into a variable then moving on. I would think that in the "real world" whatever you did after checking for a match would totally mask the 10ths of a second difference from choosing one method over the other. So I'd still go for what makes sense in context -- am I processing lines or substrings? -- to make the function of the macro more obvious when I look at it.
These are mentioned in the "Changed in 10.0.1" section of the manual, with a link to the Forum thread suggesting the feature. From a quick read -- instead of treating your string as an array using custom delimiters then iterating the array by index, you can treat it as a Collection split on "separated by" and iterate through without having to manage things yourself.