USG claims paper is stronger. (hmm- specifically with "drying type" joint compound).
With ready-mixed (drying-type) compounds, paper tape must be used to ensure good joint performance. With setting compounds, either paper tape or fiberglass mesh joint tape can be used; however, paper joint tape performs best.
Of course, if you can't get paper to work for you and you can get mesh to work for you, that won't really apply when you do it, just when somebody that can do paper successfully does it. Mesh can take a bit more mud to hide. But I'm strongly in favor of using what works for you (or my using what works for me.) Paper is also cheaper, but again, only if you don't buy a roll, have a frustrating time trying to make it work, tear it off and throw it in the trash, and buy mesh anyway....
So you should use a setting type (hot mud) compound for your initial tape work. I'd suggest the longer setting times (I think they have 20 to 90 minutes) as better suited to amateur mudding.