There is no such thing as "which approach is better", but rather, "which
approach is better for YOU".

   That being said, I think that if you are in control of the platforms
that this is deployed on (you said it was Windows) then you are better off
going with a Smart Client approach.  You will get a better user experience
overall and an easier development experience on the client side if you are
already accustomed to Windows Forms/WPF application development vs ASP.NET
development.  AJAX is great, and browser based applications definitely have
viability, but they have limitations in what they can do in the user
interface, and unless you typically have the requirement to reach audiences
across different platforms, it's not the best way to go, IMO.

   Smart Client apps are really nothing more than GUI clients that are
connected to some sort of service that really executes the business logic.
The GUI is nothing more than a thin shell that is driven by the calls to the
service.  This can be (and usually is) a web service, but can be any other
kind of connective technology, dependent on your needs.

   The reason that Sharepoint Admin is not a Smart Client application is
that app needs to reach as many people as possible (they don't want it to be
limited to just Windows platforms) so a browser-based application makes more
sense, for ^that^ application.