Which one is make sense ? When ı made by blender, gun is not independent from my 3d character, ı can change location of gun but ı can not see model menu of gun. There is just character model.
Remember in Blender it could still be a separate object, OR it could be in the same mesh.
In Unity it would be different Transforms / GameObjects.
Try it and find out. There is no right answer.
What is your preference in your projects ?
If there is no reason to pick one or the other then I always go with the first thing that works. 
Usually the problem space of a particular requires one approach or the other and this becomes apparent when you work within the problem space and understand it.