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To create several columns of text in InDesign I have (to my knowledge) two different approaches: Either set the text to several columns by using a paragraph style while using a single text box for the whole page, or using multiple text boxes while setting the style to a single column.
Which way is the "proper" way, and are there advantages/disadvantages of both?

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There is no 'proper' way and the answer to this depends on the actual design.

Either way is fine as long as you're in control of the content and everybody else receiving the files can understand the setup. Also, a design can be built using a mix of these, eg. using both single- and multi-column frames.

In some cases it makes more sense to use single-column frames, like when doing simple designs like a one-page flyer with not much text, or when you don't need to use threaded frames, or when there's text floating around many images at different places on the page, or when columns start at different margins from the top of the page. The more visual (non-text) elements on the page, the more likely you are to use single-column frames.

Then, when doing large volume work with mostly text content, you kind of have to use multi-column frames to speed up the formatting.

One major disadvantage with multi-column frames is that columns are always equal in width, which is not always useful depending on the design.

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I personally prefer multiple text boxes and linking the text boxes. It’s a bit more user friendly when working with the layout because box’s will snap into place self aligning them to the text boxes. This also give you more flexibility when you save the layout as a template which maintains consistency. Say you save the layout as a template. You then can duplicate the template, make some changes, say.. dragging specific text boxes down to accommodate new elements, which is much easier then having to add a new text box and change the width on one and height on the other then re-linking them. You can also delete an entire text box in the middle of a page and the text will still read correctly as the text adjusts itself via linked text boxes.

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