This is standard application installation feature in windows, if you isntall as service, you can see webMethods as service (hope you know you can see all windows services by typing services.msc on run or browsing through control panel → administrative tools → services.
The benefit in installing as service is you can directly start/stop the integeration server from services window rather than using command prompt or batch file.
As far as preference is concerned, it depends how you want to use it but i rather prefer as application so that i can use different switches availables (like debug, port, log etc) through command line.