When you add contacts directly on the phone, you have the option of creating it as an Outlook or Windows Live. If you add it to Windows Live, it will sync with Windows Live *if* you told it to sync contacts during account setup. If you added it as an Outlook contact, you can add it to Windows Live later by click on it in the Contacts program and choosing Menu ... Add to Windows Live.
Anyway, there's no real advantage either way... both methods will allow you to sync your contacts for a backup, so it's purely a matter of which you prefer. If you use Windows Live for other things-- messenger, email, etc.-- I would say it's probably easier to keep them all in one place.
PS-- (to both you and 3boos) You may want to make sure that you're using the
latest version of Windows Live as it fixes several issues with freezing up and other flaky behavior.