For Graduated ND filters, only the square ones make sense due to the limited positioning of screw-in filters. You get get by with screw-in if you wanted solid ND filters.
Another advantage of the square type is that you can use them on nearly any size lens. If you were to buy other lenses with different filter sizes you'd have to buy more ND filters. With the square type filters and holder, you only need to buy an adapter ring to fit the new lenses.