If I wanted to make a dungeon in Unity, would I make the full dungeon in blender, or export the wall, floor, and pillar assets to unity and build it there?
Some tools are great for designing objects.
Others, in manipulating them based on events and rules.
It’s also what makes you happy.
But, in the most flexible way, you should create assets in Blender in modules (wall, pillars, etc.), Then in Unity, you create a map-level editor (or by hand) to build the scenes you need for the game. Because in a gaming environment, you have also something called “Level of Detail”. An object far away doesn’t need that many vertices, but close by you can not get enough details.
With more experience in projects, you will know when to do what.
If you want a dungeon in Unity, you should create modules in Blender and import them in Unity. That is way more flexible, and if any part od the dungeon has to change, you can easily fix it in Unity - no need to go back and forth between Blender and Unity.
If this is to be a game level, you have to test it in-game, to check how it plays. It might turn out that a corridor is too short for example, so with modules you can fix it right away.
It would be also easier to design next levels if needed.
Second thing is lightning - you will have to lit your dungeon in Unity anyway, so in Blender there is no way to check the final look.
Sometimes full assets might be better though. As a rule of thumb Id say you can imagine someone else did the 3d modelling, and ask yourself how would you, as a Unity level designer, prefer to receive assets - modules or full dungeon? Then do it in a way youd like to work later.