While most web hosts have fairly robust systems, not all web hosts have robust DNS servers. By contrast, most all registrars do have robust DNS servers as a requirement to do business. It is not uncommon for someone to use the web host DNS servers over the registrars DNS servers and be disappointed.
As well, it is often far simpler to set-up your DNS records on the registrars systems due to better control panels. In order to use the web host DNS, at least one other step is required. For anyone who is not that familiar with DNS that chooses to use the web host DNS, future confusion as to which DNS servers is the SOA (statement of authority), the web host or registrar, is very common. We get questions related to the confusion here a lot!
Lastly, some web hosts do require that you use their DNS. That is something to check out. If the web host does not require you to use their DNS servers, then I would stick with the registrars DNS for these simple reasons; it is faster, cheaper, simpler, less confusing, performs better, and does not require two fees and accounts just to keep the domain name alive if you chose to go a different route.