There are a many different types of fat. For BBQ, three kinds really matter:
Subcutaneous fat - Fat layer directly under the skin, commonly know as a fat cap or edge fat (on steaks)
Intramuscular fat - Fat that woven within the muscle fibers, commonly known as marbling.
Intermuscular fat - Fat between two muscle groups.
The process of slowly melting and breaking down
intramuscular fat is what makes BBQ so fantastic. This is why pork shoulder and brisket are so fantastic when properly prepared. This is also why a well marbled steak is so delicious.
It's not the fat
around the meat that makes for good eats, it's the fat
in the meat that makes it wonderful. Intramuscular fat is one of the two primary factors for USDA beef grading. Prime beef always has more intramuscular fat (marbling) than choice or select.
If you're shopping based on the size of the fat cap, all you're shopping is how well the packer trimmed the cut, not the actual quality of the cut.
More importantly, melting fat from the fat cap doesn't penetrate the meat. It physically can't. Muscle fiber is 75 percent water. When cooking, the fibers contract, pushing that water out. How can fat, which is already larger molecule than water, penetrate muscle fiber that is contracted an actively pushing out water? It can't.
The reality is, it really doesn't matter how to orient the fat cap. Leaving it up doesn't make the meat more moist. It physically cannot do that. Cooking fat side up is more of an example of, "This is how we've always done it."
Personally, I trim all the fat hangers from a pork shoulder but leave the fat cap intact since it will be shredded up along with the meat before serving. For brisket, I cut off any hangers and trim the fat cap to 1/8-1/4 inch thick.
I cook on a Big Green Egg, which has the heat source under the meat. Even though there is a big ceramic heat deflector, I typically cook fat cap down to act as an insulator from the heat source.
Myth: Melting fat doesn't penetrate meat