It is preferable to the pressure gauge directly connected to boiler so the gauge is not affected by steam usage. My Halton Tank loco being an old design has the pressure gauge comming off the steam turret and I had noticed that pressure reading would vary with steam usage, ie, I would turn on an injector and reading would drop 10-20psi, turn the injector off and reading would go back up.
On examing the turret I found it had small steam passages, I have renewed the turret with considerably larger steam passages and now my pressure readings don't vary like they did before.
So I would recommend that if can, connect the pressure gauge directly to the boiler, but if you can't and are going to come off the turret then have a good consideration about the steam passages in the turret.
Regards,
Luigi