From what I've read, and I admit I'm not the most knowledgeable, the two ways of inserting a sleeve are dependent on the level of formality.
I think that this is because sewing a sleeve in flat gives a greater range of motion because you end up with a sleeve like |—, so its appropriate for knit garments such as t-shirts as well as more casual clothes.
A set in sleeve ends up looking like this |\ instead, which when you think about it is where you're arms naturally are most of the time. However, this doesn't really give a lot of range of motion, but it does mean that the sleeve fits really nicely (when you're not reaching up to grab things etc), which is what you want for more formal occasion.
I think that coats and jackets count as more 'formal' because most people don't really run around in them, or move their arms a lot in them. So in your case, I think that the set in sleeve is probably the most appropriate for your pattern. That said, if you want to do one over the other, no ones going to stop you and they probably wont even notice anyway!