That's why they pay us the big bucks... seriously, though, which coordinate system you'll use depends on the parameters of your design problem. Or oftentimes, on the coordinate system used by the person providing you data.
The good news is, coordinate systems in Pro E are not defined as Cartesian, spherical, or cylindrical. All are represented on the screen with x, y, and z axes, but data relative to the coordinate system can be expressed in r, theta, and z; or rho, phi, and theta.
Well Mr. Andre, there's no 'rule of the thumb' for when to use which. It's totally on the person's experience and his capabilities and preferance. There are plenty of places where you can use either of the three and it totally depends on you to choose which to use and with which type of coordinate system you're comfortable with.
It all depends in what information you are trying to obtained. For example if you are using structure and you have am a bearing stress problem with a circular hole then using cylindircal cordinates may make more since to access stress levels in the hoops (tantengial) direction and radial direction. Remember stress, velocity, displacememt, acceleration are all vector or tensor (stress, inertia) quantities that have magnitude and direction, therefore, the what coordinate system you choose to obtained or set the model depends on the problem and the results you want to obtained.