I am wondering which is better for my game either to load all the assets only once on a game splash screen for example or loading and disposing the assets of each screen separately ?
Answer of your question is totally opinion based.
Load all the assets only once and dispose when you exit your game.
Load and dispose assets of each screen, depending upon used/unused resource.
In my opinion you should choose these option depending upon size of game in terms of resources.
If your game using few resources you should load all resources for all screen at starting with the help of SplashScreen and dispose when you exit your game.
If your game have lots of resources like consider, your game is combination of three-match game and farming game. Both game type required lots or resources so you must unload unused resources of previous screen and load resource for new screen.