I removed my mobo when installing the XP-120. There were two reasons for this, which not everyone will encounter... One: I needed to go back to the stock backplate on the mobo. I had to change it for the SLK-948U that I tried before the XP-120. Two: I wanted more arm room when installing the new cooler. I don't like putting tension on the board when it's mounted to a mobo. I'm more nervous about putting too much pressure against it and causing damage. I feel much safer doing it outside of the case.
If you have the stock metal backplate on the mobo, and you feel comfortable pressing onto the mobo like that, and you have enough room to work inside the case, then do it inside of it. Of course, if you're building a system up from nothing, then putting the heatsink on first is no trouble at all. I actually install the memory, processor and heatsink on the mobo's when setting up a new system. It makes things a lot easier when setting it all up. Or at least, I've found it does for me.