I suppose if you intend to hold the CD to maturity and don't care about daily price fluctuations, the easiest route would be to hold the CD in an Asset account. Easy = a pro.
I don't really see a con in the Asset account method (if held to maturity) other than the CD would be held in a different Moneydance account than the one that you purchased it through. e.g. a Bank or Brokerage.
I bought several short-term CDs (1 year ~ 18 months) through Fidelity. Hence, I created a security for each one in my investment account. I somewhat regret that move as it cluttered my list of investments and they can't really be deleted after maturity without a kludge. I would put short term CD's as securities in the con column.
In some parts of the world CDs can be called Term Deposits as well as some other names.
My bank structures them just like ordinary interest earning bank accounts, they have an account number etc, although without the ability to withdraw or deposit money into them, so in my case I have just set them up as a bank account, interest gets recorded as I would in any normal bank account like a savings account. So how your institution structures them can also be a pointer to how to set them up in Moneydance.
An addendum to the 'Bank' account option could be to create a 'Child' account of the 'Parent' Bank account to hold the CD(s).
With regards to reporting, I think that the only difference would be that the two Investment reports (Investment Performance & Investment Transactions) could not report on Asset or Bank account holdings.