Either should be fine, I think. I start in coco coir cups which are root permeable, filled with coir. Then transplant to a pot filled with the same.
It makes sense to me to maintain consistency of medium rather than mixing two different kinds, as they could have different aeration/pH/water retention properties. But rockwell could be fine too, I have no idea, never used the stuff. If it were me I would stick with 100% coco, its works wonders...
If you do start in coco it would still be best to start small and then transplant, like you would with the rockwool. The coir cups are good for this, good luck and have fun