When you attach a sleeve to a sweater it really does not matter where you start, just that it is even.
I find it best to line up obvious spots (seams, BOs, shaped areas) with pins before pinning the remaining inbetween bits evenly. Then start whereever you feel most comfortable.
The advantage to starting in the underarm is that the ends can be woven in/hidden. But some people have trouble working in the tight space or around the shaped area, and find it easier to start at the shoulder so they have a longer/straight area to start on.