tl;dr: Use dokany if you’re not a power user. Otherwise i would suggest you try it out and if you see some crashes or other bugs regarding dokany, switch to the legacy adapter WebDAV.
The Advantage of using Dokany:
- no max. file size limit of 4GB (due to the windows WebDAV client to provide access to your vault)
- speed (depends, some user report that it is utterly slow on their machines)
- higher system integration (your vault is mounted as a virtual drive, not as a network drive)
Risks: Crashes when put under high load (see here)
Advantages of WebDAV:
- stability