I’d say it depends. If my level is still low, monologues might be a better choice because they are generally easier to follow. Or maybe I’ll want to watch a speech someone is giving, news being reported, or something like that. These are examples of monologues, and I see no reason to avoid them just because of that fact.
But dialogues are probably more common, and although they can be harder to understand, they may be a more useful form of native input. When I’m out walking around, it’s pretty rare that I hear someone giving a monologue. And I generally prefer dramas over the news and political speech. So I wouldn’t want to avoid dialogues either.
Monologues are easier to understand, but I find that dialogues are more interesting as my language learning increases. With monologues I catch more of the vocabulary. But dialogues have more colloquial expressions, and the relationships involved in dialogues make them more engaging. I tend to like a lot of variety in my listening and will intersperse each with the other.