Use the policy that you prefer, and that has been tested to work the best for your environment. For most customers that means, use round-robin (RR) for 10 or less paths to the storage array. For more than 10 paths use LQD or RR with subset and have the subset contain 10 or fewer paths. With LQD in complicated fabrics (FCoE, virtualized networks, etc.) sometimes some of the paths will show no traffic and others will be saturated. Switch to RR or investigate the storage fabric to find the root cause and alleviate the issue. For a deeper dive see Round Robin and Least Queue Depth.
See the MPIO Policy link for details on which policy is best for a particular configuration. There are more than the above-mentioned two policies. Most customers deploy with RR or LQD. Keep in mind that the default policy is applied to a new disk that is added to the operating system. If disks already exist with a different or no load-balance policy, it will have to be manually set.
The following cmdlets in the PureStoragePowerShellToolkit can be used to enumerate and then change the policy for all existing FlashArray disks. An alternative is to get properties on a disk in Disk Management, select the MPIO tab, and select the MPIO policy.