Whether you should cook meatballs in sauce or brown first depends on your preference and the recipe you are using. This particular recipe uses baking as a method so you would cook the meatballs first before adding them to any sauces. Other recipes may use browning first as a way to add flavor to the outer surface of the meatballs. It can also create a crispy exterior adding a nice contrast to the softer inside.  Cooking in the sauce helps the meatballs cook evenly and absorb flavors. This keeps them moist throughout the cooking process. It’s also convenient because it saves time and minimizes cleanup.  I usually eat my meatballs without sauce so that is why I usually just cook them first separately.  However, if you want a specific texture or flavor that will determine whether to cook them in sauce or brown first, you can choose the method that best suits your taste and the recipe you're following.