I went out and tested locked vs unlocked center differential in a snowy parking lot today. I have a 4th gen with no VSC Off switch, so they way it works is VCS is on and the center differential is unlocked, or VSC is off and the center differential is locked. I tested both in 4H.
With it locked I mostly got understeer, but I could get it to oversteer sometimes. When it was understeering, giving it some gas didn't help get me going in the direction I wanted since the back wheels had traction and the front wheels were sliding sideways. Giving it more gas could work since it would kick out the back wheels, but then you are in a four wheel slide, which may not be desirable.
With it unlocked, I could get it to oversteer a little sometimes, and it would rarely understeer. Sometimes it felt like it was sliding sideways (four wheel slide). VSC seems to kick in more aggressively if you turn the wheel straight or the other direction while sliding. If there's just a little over or understeer it doesn't help, and it doesn't seem to do anything about sliding sideways, though I'm not sure it could. I could slide enough without VSC helping that I wouldn't say it was responsible for the difference in handling between locked and unlocked.
I never got the back end to really swing around in this mode, though I was trying to be somewhat cautious so as not to hit the street lights in the parking lot. It did swing out a couple times with the center locked.
Overall I prefer the center unlocked for around town driving on snow. It's much less likely to understeer or spin out, and VSC usually helps more than it gets in the way. For driving on the highway where you don't typically have to make turns, having the center locked might be better? I think if you are sliding on a snowy road, you are going too fast because although you might be able to make your turn the way you intend, you won't be able to brake or react to things as quickly as you need to, and you aren't fully in control of your vehicle. If one wheel were to hit a dry spot it could spin you around. It's better to go at a speed where all four wheels can keep traction, and you can stop and turn like normal. If you want to go faster for some reason, get snow tires.
If you have both options and you don't know which one to use, go try them out and see which one you like better.