I think it's a personal choice, although each way has it's advantages and disadvantages;
Rock first on bare glass bottom then sand:
In most cases will make stacked rockwork more stable in the long haul, especially if you have burrowing fish, clowns or inverts that like to dig and distrupt the sand. Most substrates eventually will disolve and settle to some degree over time. As mentioned - pressure points can be a problem as more weight above is concentrated on a smaller area, especially in deep tanks with a lot of stacked rock. If using a shallow sand bed, rock on the bottom may reduce potential for areas of anerobic to exist, although I don't see this as a big factor in making this decision.
Sand first then rock: If you are going with a DSB for natural nitrate reduction, I would go with the sand on bare glass bottom first, then add your live rock. You gain a much more consistent DSB this way - 4-6 inches of sand throughout the entire bottom of the tank. If this is your case, then a lot of burrowing, large sand disturbing creatures should be avoided, or your DSB won't be one for long. Additionally, adding the sandbed first, the weight of the stacked rockwork is more evenly spread out over the entire bottom of the glass tank, and in deep tanks with a lot of rock this can be a slight advantage.
It's a give and take. You may gain or lose some benefits by going either way. I think it's a matter of what your ultimate goal is of your sandbed. Rock stability and aesthetics versus nitrate reduction.
Makes me wonder if laying down some sort of very strong plastic gridwork table like eggcrate, with a lot of evenly spaced 4 inch legs wouldn't serve to add stability and allow for a consistent DSB. May cause too much weight on too small an area though.
I dunno ...
I laid my sand down first.
