SMA or u.FL connector for an RF application

As you know, the connector must support the frequency range of your application without significant signal loss or distortion.
SMA connectors usually handle more power than u.FL connectors, which are designed for low-power applications. Ensure the connector can handle peak and average power levels in your design. Consider the physical size and spacing limitations of your system.
Both SMA and u.FL connectors have insertion loss, but u.FL connectors generally have higher loss, especially at higher frequencies. Return loss is also important to minimize signal reflections.
SMA connectors are designed for multiple mating cycles making them suitable for applications where connections may be frequently re-made. u.FL connectors are ideal for more permanent connections.
SMA connectors are available with ruggedized options for outdoor or industrial environments, whereas u.FL connectors are typically for controlled environments. And finally assembly and manufacturing requirements and the cost

Thank you for your insightful response! I'm selecting an SMA connector for a GSM module and would like to know:

Beyond RF power and frequency range, what other key parameters from the GSM module's datasheet should I consider when choosing an SMA connector for it?

In my opinion the most important things are the pcb layout recommendations and application notes, no specific key parameters. Check power budget regarding pcb traces insertion loss, connection from SMA-connector to PCB and cable losses. Impedance-controlled traces with GND vias next to trace and layer 2 filled with GND will reduce noise, enhance signal integrity and improve shielding by keeping the return path close to the trace. Do not create undesired antennas with the SMA-connector Pins. The Footprint of the SMA-connector, GND connection and the GND-Vias below the connector around the signal pin are important.