PES is the Brother / Baby Lock format used by most home multi-needles and many single-needles. JEF is Janome's native format. Both store color information, both handle multi-color designs cleanly, and both are supported by all major digitizing software.
If you own a Brother, Baby Lock or compatible: request PES. If you own a Janome, MC or Elna: request JEF. If you might switch: request both.
Neither format is universally 'better' — they're aligned with specific machine ecosystems and each performs best on its native hardware.