I've used both methods; varnishing eyes to allow natural catchlights and painting them on. Both methods have their advantages and disadvantages.
On balance I think smaller scale figures, up to 1/24th scale (75mm) benefit from a painted catchlight, as the surface area of the eye is smaller and a painted catchlight stands out more than a glossed eyeball.
For larger scale figures and busts, I favour gloss varnish as the size of the eyeball allows the light to reflect more easily.
At the end of the day, there's no right way or wrong way. There is whatever way works for you.