There is no correct answer, It works either way you choose. The only difference is that the water pressure is either reduced before entering your water hose, or at the other end of the water hose.
I've done it both ways over the years and find I prefer my water hose directly connected to the faucet, and my regulator screwed to a quick connect that I can plug in at the trailer. I hated screwing the regulator on the faucet and then screwing the hose on to the regulator every time on my aching knees.