I think Qobuz Connect sounds somewhat better than Qobuz via Roon, but that stands to reason. With Qobuz Connect the streaming transport requests the selected stream from Qobuz servers, and that goes directly to the streamer, without any extra trips thru a controller, etc. With Roon the Qobuz stream has to come through the Roon server (which may or may not apply DSP to the stream, depending on user configuration) and that is then forwarded to the Roon endpoint using the RAAT protocol. IOW, there is an extra hop for the stream, even if Roon DSP isn't used.
OTOH, I think the UI/UX of the native Qobuz apps (iOS and macOS) is pretty crappy, so I use Roon. Also, my DAC supports a Roon endpoint but not Qobuz Connect, so if I use Roon I can bypass the streaming transport (in my case a simple WiiM Pro I mostly reserve for Airplay2 use).

