If you're using the fan to cool your electronics, you want it on all the time, so use the Aux pins (which is always on).
If you're using the fan to cool your print, you want it on when G-code tells it, so use D9 (which is a switched output).
If you're using the fan to cool your print, you want it on when G-code tells it, so use D9 (which is a switched output).