As you can see, there are pro/cons to either approach...
If all your lights are Insteon, I'd recommend doing direct links for a couple of reasons: 1) if Indigo is down for some reason they will still work, 2) linking directly would cause less Insteon network traffic (though if you take the Action Group route you could make one action to execute an Insteon group that contains all the lights which is basically the same thing).
If you have a mix of Insteon and other devices, then the Action Group is really the only option. Action Groups are also somewhat easier to manage IMO, but it's also somewhat rare that you have to add/delete devices from a group like that. And, as rehafer points out, if you put them all in a Device Group, then keeping the KeypadLinc button in sync is somewhat easier.