There are advantages and disadvantages to both methods, and both methods are equally valid in their use.

The Capacitor... doesn't generate heat, but costs 20x the price of a Resistor. You need to use an X2 grade because if it fails, it will take out the protection Diode and the Opto.

The Resistor... is far smaller and a lot cheaper, but it's entire raison d'entre is to dump heat into the planet, so it may not be the most appropriate component to use if for example you're planning to use a sealed unvented box. At 240V, you're going to have to deal with around 0.2W being wasted. Now, you have two dozen opto channels monitoring two dozen mains Fuses, and you suddenly have a fair amount of heat being generated.