I have the SD but I would get the ROG Ally now since I have xbox game pass and I prefer direct support instead of lengthy process to add it. On the other hand, playing outside is much better with the SD due to battery life, but until now I didn’t need to play for long time away from home. To simplify it for you, if you are planing on playing for long time outside go for the SD (especially of you plan to do it during commute), but I you have other than steam or you will be playing in your home or docked then go for the Ally.
In this case I think you are good with either of them. However, SD will be better for you slightly since you will have seamless transition between your PC & SD.