I'm going to take a crack at this since no has answered you yet. The benefits of soaking the spices in vodka or bourbon has to do with the specific gravity of the liquid. Vodka and bourbon are thinner than your beer, they contain a much higher percentage of alcohol. This makes the spices more permeable to the liquor that you are soaking them in. This will allow the vodka or bourbon to draw out more of the spices and flavor. The beer is thicker and therefore can't permeate the spices as well and won't draw out as much flavor.
As for which spices are better for adding to the beer or to liquor, I would have to say it deals with surface area. Orange zest is grated into fine particles and provides a lot of surface area so the spice is completely consumed by the beer or alcohol so I don't think there will be much of a difference in how you add it. Cinnamon sticks and vanilla beans are dense and only the very outer layer will be in contact with your beer so that is the only part of the spice you will extract flavor from so it will be minimal. Vodka is a very thin liquid so it soak into the sticks or beans and pull out more flavor than the thicker beer. I would soak cinnamon sticks, peppercorns and vanilla beans in vodka, whereas I wouldn't hesitate to throw the orange zest straight into the beer if it were grated fine enough.
I hope this helps. I feel unqualified to answer this question but I figured you'd rather have some answer rather than no answer at all.