A good question and something similar was discussed on here not so long since. I agree it looks initially like there should be no difference but there are some, all of which point to the fact that the connection should be from the steam side.
Firstly the valve is designed to work with a gas or vapour not a liquid. The liquid would behave quite differently in the valve body and affect the valves accuracy of operation. This is as a result of liquid not being compressible but gasses and vapours are.
Secondly the components of the valve may be capable of withstanding water for a short period but prolonged immersion could lead to damage. Solid deposits in particular could end up being formed in the valve, which would ultimately affect its operation.
Even though water will be carried over with the steam initially the idea is that the valve is positioned to allow the water to drain back into the boiler and so not be continually present in the valve. I notice in your installation that your calve is below the connection so there is a chance that water will collect. Ideally the valve should be higher than the boiler connection to allow this drain to occur.
There are also those who would advocate a gooseneck in the line to protect the valve from fluctuations, which we went into the theory of last time in geat depth. I'm not convinced of the value of that however I do think the valve should be above the boiler connection. However as with most of these things there is no harm in trying. I have an attenuator valve mounted directly on the boiler, which works fine and I have an attenuatopr valve on a lorry mounted well below the boiler, which also works fine so, as with most of these things, a bit of experimentation is well worthwhile.