Stain, by itself, has to have a finish put over it since it provides no protection to the wood and the first job of any finish is to protect the wood from wear and tear of reasonable day to day use. The poly shade gives you both color and protection Stain only gives no protection.
Due to splotching staining certain woods, pine and cherry being prime examples, can be problematic. Not having used any polyshades I don't know if it resists the splotching tendency's of hard to stain woods but it would certainly make a good toner coat. A layer or layers of colored finish sandwiched between clear coats.
A practice you will find heavily used in the furniture industry, especially on cherry, since it removes the man hour needed and stock consuming practice of having to match the grain of the woods for the most pleasing appearance. It also eliminates any splotching that can result from trying to stain the bare wood...
Having the color in the finish can cause problems when finishing the finish since the process entails abrading and removing some of the top coat. It's quite possible to cut through some of the color and end up with an uneven look. This could be avoided with additional clear coats over the colored coats.
Which would be the best approach? I find myself using toning more and more but I'll occasionally still stain a wood depending on what I want to achieve and if it doesn't fall into the number one or two of my personal ten best finishing rules. That rule being, never stain if you don't have too.
NOTE, Unlike the 'it's a mortal sin with hanging as the punishment if you stain cherry" crowd, that rule is never stain if YOU DON'T HAVE TOO. . On a practical level sometimes it has to be done