The advantage to taking power at the alternator is its higher voltage, and it ammeter will always read correctly. It's also protected from a battery short - although I think that's a minor concern with this particular device. The disadvantages are distance if the box is mounted on the driver side, and
may not be as 'clean' as power closer to the battery.
It's hard to know now, so many years later, why MSD suggested battery source rather than alternator. But when charging circuits are equiped with an ammeter, its better not to add equipment to the battery side. Again, loads here are not high, so don't sweat it. It just means the ammeter may show slight charging when in fact its just power going to the MSD box.
Understanding Charging Systems with Ammeter