I have a friend that paints on the sprue and swears by it. I paint after building the model most of the time, though there are exceptions.
For me, I like not having to patch up the areas where the parts were attached to the sprue, or needing to worry about a little bit of extra glue seeping out of a joint that going to mess with my finish. I also find it’s much easier to do consistent highlights and shadows post-assembly. And since that’s the bulk of the work for me, I just don’t worry about trying to mess with painting them before I even take them off the sprue.
Of course, there are times where something will be impractical to reach, but not blocked from view. I usually can spot those during assembly and plan to build the respective bits in stages to make it work, but this is generally rather unusual. The Harbinger is a good example of staged painting. I’d have a hard time painting the legs and acolytes under the side robes, so I did them separately first.
My buddy though, he aims for a simpler table-top finish. Puts good basecoats of color on while still on the sprue. Assemble them and fill in any last gaps from where the sprues were. Then maybe give them a quick wash or drybrush treatment for highlight. It won’t win a painting masters, but it looks excellent for playing and it’s super fast and easy so he gets his army done about twice as fast as me.
In the end, I’d say to give both a try (you can snip one model’s worth of bits off the main sprue, just keep a chunk with each piece) and see which you enjoy more. That’s the way you’ll get more done in the long run, and you’ll be happier with the results.