Should system synergy be the priority, or can better sound be achieved by carefully selecting and matching individual components?
There is no universal truth. Sometimes there is a significant synergy between preamp and amp like Audio Research, but non-matching brand success can be achieved with other brands.
Is it preferable to choose an integrated preamp with a phono stage, or is it better to go with separate components?
Integrated components save money in casework and cabling. It’s less flexible for future upgrades as both the preamp and phono must be changed together. The sonic quality of the built in phono is also important.
Separate components cost more in casework and cabling, but is expected to perform better as external phono stages typically perform better than internal phono offerings.
How does a SUT (Step-Up Transformer) factor into this?
It changes the sonic profile usually subjectively for the better. The OPs Denon 103R and at least the stone Koetsu are known to sonically benefit from SUTs which must be used with “voltage” phono stages. Obviously a SUT is an additional expense, and SUT using silver can be pricey