should i save backup data locally on the backup server or on the SAN?

hi,

we are implementing a new backup solution

veeam B&R installed on a backup server equipped with 12 TB local storage. 

EMC vnxe 3200 SAN

fiber connection between the SAN and the Backup server and the hosts

we have two hosts with few servers - no big databases - mainly VM backups

We have the question of backing up the first copy of the data to the local storage on the backup server itself, or should we backup to the same SAN we are taking the backup from.

and in case we used ethernet connection between the devices, what would be the best option as well?