I'd go with the same generic modules for both. The general type is "multi-mode (OM3/OM4) / dual LC / 850 nm", and they're widely compatible. "Generic" here includes both Mikrotik and Ubiquiti branded ones, or you can simply buy whichever generic part your distributor carries.
Some manufacturers make equipment that strongly prefers their own branded modules (i.e. locked to them, requires workarounds, refuses to show stats, etc.), which would make this a bit more complicated. Luckily neither Mikrotik or Ubiquiti are amongst these.
DAC's generate less heat because there's no signal conversion on each end and has lower latency than a fiber setup.
Fiber setup generates less heat and is more expensive and more maintenance, it has to be cleaned eventually and when you swap stuff out. Active optical cables are better for a normal user (u have to know that once AoC dies u have to replace the whole cable not just fiber/transciever).
Rj45s are by far the worst, uses more energy therefore it generates more heat than other connectors, like significantly more than dac or fiber, they're known for cooking themselves and switch/router sfp cages.
Let's say I went with fiber SFP. Would I get the same SFP module for both devices, or one that is known to work best uniquely with each device?
You don't generally have to get or match the transcievers but its best practice to do so because there's stuff that has to matchup, like wavelength and the fiber connector, MM or SM, some modules use different power lasers/diodes to transmit (MM 10gtek uses higher power lasers to transmit through fiber than MM mikrotik modules for example, you can see that in the Ethernet -> sfp cage -> sfp -> tx/rx power).