Should I use SGD to buy US ETF in SAXO or should I use USD, what are the pros and cons?

If you're planning to buy debt or equity securities in USD, then it would be better to convert to USD beforehand (through multiple currency accounts/wallets) then depositing. SAXO charges a currency coversion fee and that can rake up especially if you are investing on a regular basis. If you are investing locally, then there is no need to convert to USD.

" When you trade an instrument in a currency that differs from your base denomination, conversions – including trading profits/losses – are executed using the FX spot mid-price, based on the time you close your position, plus/minus 1 percent. We charge Platinum clients no more than plus/minus 0.75 percent, and VIPs no more than plus/minus 0.5 percent. "