Depends on the pump you use. If you go the DIY/Shurflo pump route you can use either.
If you have an EFI type pump, then use denatured with lubricant.
On the Shurflo pump, no lube.
They both work..advantage is cost..methanol is way cheaper, and it has no odor. Denatured kinda smells like antifreeze burning.
I've been running on methanol for months now, no issues..great performance.