In general, one should use wave ports wherever possible. The reason for this is that for any type of technology (stripline, u-strip, coax, etc.) a lumped port is only an approximation of the actual. For instance, take a u-strip. Most (but not all) of the E-field lines extend from the center conductor directly down to the ground plane. However, there are also many field lines, "fringe" lines, that take a more curling or indirect path from the center conductor to the ground. Thus, the quasi (as opposed to full) TEM solution for u-strip. We can think of the lumped port as being the idealized (non-fringing) solution whereas the wave port also adds the fringe lines. Therefore, the waveport will always be the more accurate.
There are also other discontinuities inherrent with the use of lumped ports. In the coax example, you added an air box to keep the center conductor from shorting to the outter conductor. having this air box will add a discontinuity in the model that may not correspond to real life.
With all this said, there are some very real reasons for using lumped ports, but they should be used sparringly.
-john kitt.