I save the plots as png and then insert them into the Rmd document for two reasons.
Firstly, the processes I run tend to be too large to be computed in one go, so I run separate processes, one of which saves the plots. These can then be simply inserted into the Rmd document using knitr::include_graphics().
Secondly, I found it difficult to match all the dimensions and dpi settings I needed for the plots using Markdown directly, which is most likely my fault.
However, if you don't have these requirements then using RMarkdown directly is the more straightforward method.