The question of cooler mash tun or converted keg kind of comes down to what you want your final system to look like?
If you are happy with single and double infusion mashes, then a cooler is fine. If you are going to be doing decoction mashes, cooler is fine. HERMS...cooler works... RIMS...maybe.
However, if you want a direct fire or RIMS system, the cooler may not be the best choice. Obviously, direct fire to a cooler is a bad idea, and for a RIMS system, you may be able to install an electric heating element in the cooler to recirc past... however the plastic may warp and not be a decent long term solution. (I have not done this, but those are the theoretical arguments)
The benefits of the cooler are that it is insulated, which adds stability and consistency to mashes as it isolates the mash better from the outside air. So a mash in December comes out the same as in July. Coolers are relatively easy to convert, (some you just pop out the cooler spigot and screw in your own valve) and can even be used for it's original use if needed for a party. I have been using the same cooler in my setup for five years, and it is holding up great. I am able to do two step mashes, and if I plan well, I can even do three step mashes. If I need to do more than three step mashes, I tend to do a "mini decoction" where I pull part of the mash out and boil it in a separate container and then add it back in to raise the temperature. (For real decoctions, I boil for a lot longer!!)
I personally, do not see a big need to do RIMS or HERMS, other than they look very cool and have a lot of gadgets! Essentially, I have chosen to keep my mash systems simple.... In my opinion, the fewer dials to play with, the better the opportunity for consistency. RIMS and HERMS supposedly have more controlled steps, leading to more consistent batches... however, unless there is a PID control involved, the ramp rates tend to vary. When doing infusion, I can dump the same temp water in and get the same results EVERY TIME.
If you like stainless, you may wish to forego the cooler as well. I know I have shiny metal envy when I visit my friends who have all kettle systems, but at the end of the day, more of my beer is gone then theirs... I wonder why?
In the end, both are great choices, and the only real decision is what style of mashing you want to do ultimately, and what fits your price tag.
Have fun building your system!