When the egg is about to hatch, two options are given, to help the hatchling, or to leave it alone. Which is better? And what differences does it make (if any)?

If you help the hatchling break the shell, it receives a bonus in the Health stat. Leaving it alone causes the hatchling to receive a bonus in one of the other stats (Strength, Intelligence, Dexterity, or Agility).
As for the question which option's better, it all depends on how you wish to use your pet once it's grown up (like as a mission pet etc.) c:

Thank you!