“it depends”. Some considerations for mssql:

- If the foreign server is close (latency) that’s great

- if your query is complex then it helps if the postgres planner can “push down” to mssql. That will usually happen if you aren’t doing joins to local data

I personally like to set up the foreign tables, then materialize the data into a local postgres table using pg_cron. It’s like a basic ETL pipeline completely built into postgres