Ronnie B,
It's 24 years since I instructed on the RAF's Gazelle HT2 (how time flies), but having looked at my copy of the technical notes, which include a schematic diagram, I think the real answer is "neither".
The mag plug is situated after the scavenge pumps, so it cannot protect them.
The only thing that would efficiently 'protect' either the scavenge pumps (there are three of them, btw, not one) or the cooler, is a filter. There is only one filter, in the system, after the pressure pump.
A mag probe may allow some debris to get past, especially if it were non-ferrous.
I think the answer is this:
On the Gazelle's Astazou engine, the single mag probe is situated in the only common oil line after the scavenge pumps, so any metal from either of them should be caught by it for the engineers to find. If it were placed elsewhere it would need others to complement it.