Recently Databricks Secrets became generally available.
Now, you can manage your secrets whitin the catalog using the namespace: catalog.schema.secret
However, you can do the opposite of what you used to do: Connect Unity Catalog secrets to Azure Key Vault (and others). This way, you keep the values in KV while using UC to manage and reference these secrets .
Which one should I choose?
There's no single answer. Everything depends on how the management works in the company.
No one Data Engineer has permission to create key vaults and the SOS can take several days to be closed? Go with Databricks Secrets.
Do you need to centralize every kind of key in the company? Go with key vaults.
It all depends on the scope and context. You don't need to choose one OR the other. You can work both together too.