In the cryptographic context, the $\Delta(X;Y)$ formula(i.e the statistical distance) seems to be the most 'natural' because of the way we define security in terms of a distinguishing advantage. i.e $$\Delta^D(X;Y) = |Pr^{DY}[D(Y) = 1] - Pr^{DX}[D(X) = 1]$$.
As mentioned here here, this definition implies that the statistical distance is an upper bound on the distinguishing advantage of any distinguisher(computationally bounded or not). In other words, as consequence of the definition, the statistical distance is 'The metric' for security. Now why is this definition of advantage the most natural? I have no idea...
Talking about metrics, the distinguising advantage can be shown to also be a pseudo-metric. Which is not the case for all distance measure.
At Swiss Crypto Day Maurer gave an intringuing talk titled 'Adversaryless cryptography'. The main insight was that by essentially using the statistical distance, one can make security claims without the need of explicitly speaking of an adversary, this would potentially simplify our security proofs and help gain more insight into the security claims that we make. I am curious to see where this goes ;).
Looking at the specific case of Pearson's $\chi^2$, i don't know of many indistinguishability proofs based on that.
The only one I could find was in the paper Information-theoretic Indistinguishability via the Chi-squared Method by Dai and al. The insight of the paper was that the new method could be a potentially simpler framework to make security claims based on statistical distance, since the classical proof frameworks seem to be error-prone.
But ironically, this paper seems to show that the proof by Dai and al. had some mistakes furthermore they show ways to fix the proof. So it seems that an exiting advancement but we still have a long way to go...