Macrium Rescue Media or Windows Recovery Drive? Which one is better?

Macrium restores everything.

Recovery drives only recover the OS. TBH recovery drives are not that critical as you can easily clean install using media creation tool anyway. Personally I never bother with recovery drives.

Macrium Reflect Drives are very useful for more than restoring images eg - mount image as drives, fix boot problems etc.

Also it is overwhelming view of this forum to use Macrium Reflect Free for image backups rather than Windows own tool - faster, more reliable, smaller images for starters.

You can Create a Recuse Disk with MR and you probably should update it when the program is updated. I have no recovery drives even on Windows C:\ and have had no issues for over two years. I image my system on a daily basis and MR has never failed me.

Recovery drives only recover the OS.

To Clarify, a Recovery drive or Partition restores the computer to Factory default settings, whatever the computer shipped with. Including any software the manufacturer included with the computer when it shipped.
If you have updated your system to Windows 10 from a 7 or 8 OS. when you restore using the Recovery Partition it will restore you to the previous OS factory defaults.
Macrium Reflect and other image/clone programs make an mirror image of your system the way it is now, with your current Updated OS, personally installed programs and personal files (ie) Documents, Music, Pictures etc. A Windows Image or a Backup Image should be the same thing. File History backup just backups up your personal files.
You will need to create a Boot CD or USB Flash drive in the Image software to boot the computer and create the image, then save the image to a separate drive like an external HDD.
Once you have created an Image file, you should test restore it with another HDD to make sure it works in case of disaster.

Well for image you need something with a large capacity unless you want lots of disks.If your image is 50GB that's gonna be a lot of cds. I think I've read that some do put them on dvds but that will still be a lot of dvds and I guess not the easiest updateable situation. Others use a portable USB hard drive device.
The rescue disk which you also need is much much smaller and can go on a cd/dvd or usb. You need this to boot into the computer and access your image file most likely from usb.