I was taught QFE, because that is what PPLs did in those days. Then I did the IMC rating, and found that nasty little trap that if you fail to set QNH on the missed approach, you fail (I never did, but came oh so close!).
So I taught myself to fly QNH. Then I did a load of flying in California and Arizona, including Big Bear, Grand Canyon, and Sedona. That convinced me! There's no chance of setting a QFE for those places!
If a MATZ tells me to use QFE, I'll do so - but the other altimeter will be on QNH, so I know where I am versus local terrain.