If the control event is time consuming and doesn't need to happen immediately you can use the Async option. That way the user does not have to wait around for it to complete before he continues working. If the event occurs quickly you might as well use the inline option.
NOTE: if some subsequent event is dependent on something happening in the Control is Exited phase (such as a record being updated in the database) , you must use the Inline option.
If in doubt use the Inline option - it is the safest.