Should I consider cryptic or natural splice sites, or both?

The user manual section on splicing (from pg 63) provides an overview of this topic, as well as links to publications and more splicing-related information:

The following paper also provides a good overview of this topic:
The first sentence of the abstract states: “Cryptic splice sites are used only when use of a natural splice site is disrupted by mutation.”

Overall, the literature suggests that both natural and cryptic splice sites are important, but their relevance depends on the context of your investigation.