As I understand it, with proper barista technique there is no risk to the equipment with either approach. Cut off the steam and remove the wand from the pitcher as soon as the steam stops. Always. Contraction of the steam takes a few seconds to start, so if you are quick no milk will go into the steam wand (test this with plain water if you don't believe me...). Forget chocolate for a second - do you even want plain milk up in your wand?
We steam chocolate with the milk. I find we get a much better texture and more rounded flavor. It is a bit of a pain though, much easier to just pull the shots onto the sauce.
Taste it both ways, it is an easy experiment.