The hot mud is stronger, however most use it for the timing issue. With hot mud you can have your 3 coats done in a day on a repair or small job.
Although the thing with hot mud is, since it is "stronger" it also dries much harder, making it hard to sand. The faster the set up time, the harder it is to sand, I find. What I like to do is use hot mud for the first two coats, then use all purpose for the 3rd coat, so when I sand before priming, the all purpose makes it much easier for me to get a good result.
You can bed with either setting compound or pre-mixed
HOWEVER- if for some reason (like a small repair) you are using mesh tape, then you should embed your mesh tape in a setting compound, as with pre-mixed you risk cracking later. If you are repairing cracks then best to tape and mud.