Import asset or full scene

Both are fine, but from an artist perspective I think Blender is probably best as you can combine your meshes using Ctrl+J which puts the geometry into one object. This helps Unity deal with fewer draw calls and gives you proper FPS. This is basically the same as CombineMeshes or mesh baking assets in unity but you don't have to write a script to do it, you just do it by hand in Blender when you are building. That isn't to say everything in your scene has to be inside one big object, but try to limit your object counts as much as you can, like in chunks of a map. Things like doors that need animations, or anything not considered static I suppose, should be their own objects so you can add animation or scripts to it. The main con I'm thinking of is that you'll probably want to make a lower poly mesh colliders, for each object. This is described here.

If you are already thinking about doing procedural level generation you can use unity to place the single objects you've made in blender like a building set, you'll get box colliders automatically made for each part as well which can be handy. After a while, when you place a lot of individual objects, the FPS will drop dramatically. Then you'll just have to utilize Mesh.CombineMeshes at some point to help cut down on each individual mesh renderer that is made when you plop another part into the world. This is probably great for quick prototyping but less of an artist task and more of a coder task to get decent FPS.