If you go with curved text, you'd probably want to keep it pretty shallow anyway... I like the warp better than the pen... maybe because of the darker/more visible characters. Pen tool... meh... Shapes converted to paths might be better - you can keep the curves more uniform sometimes than with the pen tool and path point adjustments. Maybe it's easier than I know. It did take me an embarrassing amount of time to figure out how to put text on a path so you probably should get someone else's advice on the best way to do it. With recent maps of mine, the labels were all raster letters from the beginning, so where they're on a curve they're mostly just arc-warped a bit or I rotated the letters individually around a central point if the arc was going to be too deep and distort things too much with a warp adjustment.
Whether either of your examples is an improvement over straight, I don't know. I'll leave that to the others. The map looks nice though.