My take...It's nice to have the valve anchored well, and connecting directly to pex with a valve, while it works, won't be really stable. A compression fitting should not rotate if you get it tight enough, but something like a Sharkbite can. Turn it enough, and the spikes holding it on will gouge the pipe, reaming a slot into the tubing. A compression fitting will work, but it's nearly impossible to get the pex at a consistent 90-degree angle from the wall, so the valve may be canted one way or the other and still move when you try to use it. If you go with the copper stubout, you can still use any choice of valve: solder, compression, slip-fit, and on the choice with solder, you could solder on a threaded coupling, and use a IP, threaded on valve, if you insist (most have gone to compression, which is faster and works just fine long-term).
There are other copper stubout versions than that shown, if that would suit your situation better. The one shown would work well if you used the nailing plate into a stud...having holes all around would also give you the option to install it with the angle pointing any direction, and work if you put a cross-brace in the wall as well. Pretty handy.