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Usually the jack is a line level unbalanced connection and the XLR is a mic level balanced connection.
Neither is "better" or "worse" as is, the jack is used to send the signal into a device that accepts a line level signal, for example an amp, the XLR is used to send the signal into a device that accepts a mic level signal, for example a mixing board.
Without knowing the make and model of Your effect console, it's hard to tell anything else.
RTFM perhaps .
A lot depends on which unit and effects you are using. Some 1/4" outputs offer trs stereo &/or ts mono and some xlr outs are 1v line level much hotter than mic level which some mixers have trouble with. Sometimes you might want to get the effect of stereo for chorus or panning where you want to run in stereo, for that you need and insert cable aka 1/4"trs to 1/4" L & R ts.