If there are just 1 or 2 cyclists, then it is probably better to use the cycle lane. However, this lane is also used by runners and walkers, so care still has to be taken.
For a larger group (and especially a team) then the service road or main road is more appropriate. Also, if you see a road cyclist not using the narrow strip to the right of the white line, it is usually because there is a lot of debris in this area. Trust me , it looks different on 2 wheels.
I am both a cyclist and driver (and walker/runner). Fortunately, most road users in Mallorca seem to co-exist better than here back in the UK. There's room for everyone if we are aware and courteous!