According to: https://docs.moodle.org/39/en/Cron (under the heading 'Running cron for several Moodle servers'):
Tasks can run in parallel and processes use locking to prevent tasks from running at the same time which allows cron to be triggered from multiple web servers that serve the same Moodle instance.
I would, therefore, have cron installed on all web servers. Otherwise, if the web server designated to host cron 'fell over', the tasks would not run (but your site would still be operational). Therefore, setting up cron on all web servers allows for cron to operate in parallel, and more importantly, failover in the event of server failure. Given the existence of task locking, I see no reason to confine it to one server; it allows the load to be evenly distributed across all servers.
I'm interested to know why you don't do this, Howard?