You should always prefer a digital connection over an analogue one.
VGA signals will (on modern monitors) result in a conversion of the signal from digital-to-analogue, to pass from your computer down the VGA cable, and then another conversion of analogue-to-digital for the LCD panel display.
Both these conversions result in a form of quantization noise.
In the D-to-A side the discrete digital signal gets approximated to an analogue level which may be affected by the preceding and following levels depending on how fast the signal has to change. This can result in overshoot or undershoot of the output signal and degraded quality. Accurate and fast D-to-A converters tend to be relatively expensive.
The A-to-D (display) side has the opposite problem, a continuous analogue signal must be approximated to discrete digital signals to interpret the colour value. This stage also inherits all the errors generated in the previous stage.
What basically happens to the signal can be seen in this graph from Wikipedia but there is a some "best guess" approximation when trying to work out what an analogue value represents when converting to digital.
![enter image description here](https://cdn.statically.io/img/i.sstatic.net/Hl3ut.png)
By changing to a complete digital connection you remove these two conversion stages and as a result get a cleaner and accurate signal. The computer and monitor now speak the same language without having to convert to and from another format.
VGA cables also do not always shield all the cores from each other and crosstalk can occur. Basically a signal in one wire can generate a small magnetic field which can induce a signal in another wire and alter the signal going down that wire.
Crosstalk is a major problem in analogue circuits and it can mean the signal you put in at one end of the cable is not quite the same as what comes out. VGA is particularly prone to it in my experience. Digital connections are not immune to crosstalk, but the nature of the digital signals on the cables means that unless the interference is huge then crosstalk is essentially irrelevant.
As a result by your display will receive a much cleaner signal by using a digital connection. It will basically be as identical to the original as it is possible to be.