Isn't the pentahydrate more stable? Anhydrous gradually absorbs water.

Pentahydrate will stay as pentahydrate, so you aren't chasing a moving target.

Anhydrous is fine if you can keep it dry, but it is hygroscopic (absorbs water) so it will gradually get heavier as more and more of it becomes pentahydrate. This means that using the same weight of crystals in your solutions will result in weaker and weaker solutions over time.