Neither option is perfect if you need to modify the line. Assuming the line is “final”
Converting to a shape and setting the stroke on that shape is not futzing; operations are exact.
Duplicating the line, making the arrow head just the right amount smaller and then adjusting the line endpoint’s position so the inner head is perfectly aligned within the outer head, and then worst case having to adjust the position of midpoints are all inexact operations – i.e., futzing.
The downside to converting to shape is that it’s irreversible. If you’ve got to adjust the line itself, you need effectively need to start over. If you duplicated the line, you need to delete the duplicate, but you at least have the original one to adjust. So no solution is perfect.