As I said I’ve never thought about it so I’ve done some googling for the very best of the internet’s wisdom! I appreciate much of that wisdom can be found on this forum but always good to have a look at a few sources.
Shimano do indeed instruct you to set it up large/large direct I.e. not through the mech then add 2 links. This method ensures you have enough length for the largest capacity. One of its shortfalls is that you could end up with a chain that is too long for the smallest capacity
Campagnolo instruct you to set it up small/small through the mech and as long as you can make it while still having tension I.e. clearing the cage without the chain rubbing. One of this methods shortfalls is you could end up with a chain that is too
short for the largest capacity.
There’s a lot of debate out there in other forums and as many advocates of one method as there are the other. Again it’s only t’internet wisdom.
If everything on the bike is “standard” or you are replacing like with like on a previously correctly functioning bike then you’re not going to encounter any issues using either method. The caveat, and something many of us are likely to encounter as we mix, match and experiment is if you’ve used a too short mech cage/too small granny ring/too large big ring/too big a cassette/weird chainstay length etc etc is that you will encounter extremes of chain length issues too long or too short both of which could end up in mechanical malfunction.
A dry run on the workstand is what’s needed before committing to warp speed after setting up with either method!