It depends you prefer. If you have 19.10 installed, you can upgrade to 20.04 later, but could appear a little issues reported (or not). It's faster, but in my opinion it's most uncertain.
If you start installing Mate from zero, of course I'll choose 20.04 directly, but you must restore a previous done backup, and configure preferences and apps. Other hand, I'm not sure if is possible yet in GPD.
I can tell you that, for my part, I had never updated a previous version, always formatted and reinstalled. But lot people do with success.
Thanks for the response Tim - I've gone ahead and installed a fresh copy of 20.04, but it seems the dilemma is that the customisations required for the GPD Pocket are either not 'detected' or I haven't installed the right package .. so I guess I will get the custom 19.04 images for the GPD Pocket and try to install them, with the hope that the Pocket-specific configuration will translate afterwards in an update from 19.04 -> 20.04 ..