Marketing Data Sharing versus setting up the pardot connector to sync leads to Salesforce

Hi! I am trying to understand how people are using Marketing Data Sharing versus setting up the pardot connector to sync leads to Salesforce. It's my understanding that if we use MDS we have to load the leads into salesforce first which is not logical and I have not experienced with other automation platforms. Can anyone provide insights on this? How are you syncing your leads from Pardot (marketing cloud) to salesforce? TY!