"Can I use either (40-minute quick-set... Thistle multi-finish plaster) to apply the paper tape?"
You should use Joint Compound to set and initially cover the tape. Joint Compound has adhesive that facilitates a good bond. Look at the instructions on the two different materials and see if they are listed as joint compounds or if they mention use for bedding tape for joints.
are there reasons to avoid one type of plaster?
Yes; "setting" type plasters (e.g. "40-minute quick-set") are difficult to work with because of their fast setting time and are not the best choice for novice plasterers. It will likely be better to work with a plaster that takes longer to set up to give you more working time.
NOTE- I use premix Joint Compound for tape joints and skimming. Yes it makes the job take multiple days and yes it is easy to work smooth and the long working time is exactly what I want and need.