From what I've seen it seems there is no real difference i.e. if you are able to keep the debris from the explosion in the family then that seems like an ok approach to me.
However if you explode or not will not make any difference to the graphical styles, which will remain in the project regardless of what you then do with the family (until you compact project file perhaps). Meaning you can import a family containing an unexploded CAD link and the graphics styles for those are created directly in the project. Then when you delete the family from the project (even if not exploded) such styles will remain. I expect there is a similar reality for geometry information.
Therefore the actual best practice to keep your model small without the need to compact is filter out in AutoCAD what you need to bring in. As soon as you bring in any dwg you are bringing in lots of items you don't need but I understand there is a balance to be struck i.e. you need different parts of it at different times.
If you are exploding, then I expect it is best to explode one that is either in a family or view dependant since that will compartmentalise it to those worksets. The only real benefit is you know where it all is to remove it but you may not notice file size benefit until file is compacted.
