Setting up for dumbell press on a bench is a bit of a faff with bigger weights though - also a bit of a pain if you're doing a hypertrophy routine and want to include reps to failure/include negatives.
Neither is better, just different.
One is definetly better for your shoulders, and also better if you don't have a spotter. No way you're going to be doing negatives or failure with a bar. You can go to failure with dumbells though without any fear of crushing yourself with a bar. As for setting, its not that hard once you get the hang of it. Only real problem is finding dumbells big enough, the ones at my gym only go up to 50kg.