It really depends on what you want.
I live where I can collect both quite easily, so I have both in my tank. Here's my take on the differences.
The stars tend to hide under rocks almost all of the time, and especially during the day. So you rarely see them except MAYBE when you feed the tank. But I don't see mine (I have 7 or 8 in a 40g cube) doing any damage to anything in the tank. I do think they help keep the sand a rock clean by eating detritus (not algae or coraline). I think stars are more hardy than urchins, but both can do OK in a mature tank.
Urchins are out where you can see them most of the time, and they can move around a lot and faster than you might think. I have one in my tank (I have had more). I think they tend to eat coraline algae first and green algae second, but that's more my opinion than science. I think urchins are less harty than serpent or brittle stars. And the biggest knock I have on urchins is their desire to camouflage themselves by picking up 'stuff' in the tank and carrying it around and then dropping it someplace you don't want it. They can pull coral on frag plugs out of a frag rack or if just placed in a hole in a rock and not glued into place. And when they drop it, it's inevitably upside down in the sand, in a hole through the rocks where I can't fish it out or face down on an anemone or another coral that kills it! They pick up bits of shell, any loose debris (a mangrove leaf, bits of macroalgae, ect.). I had one carry around a live turbo snail for several days and another haul around a floating hydrometer! They are cool, but they can cause some chaos in the tank. And the bigger they are, the more chaos they can cause.