I think comfort must be reason number 1. I prefer a barbell across the shoulders for back squats, and dumbbells in hands at my sides for close feet squats. I cannot balance properly or get a good squat with d'bells on shoulders because they are constantly in need of re-positioning and I can't concentrate like that, so, you really have to choose what works for you personally.
I'm not sure that weights positioning is all that important, but of course, there are many different types of squat (front squat, back squat, goblet squat, hack squat, feet close together squat, plie squat) so doing a range of different styles is beneficial.
Clare