On-wafer or SMC connectors measurements

what's the most common test methodology for an RF block like an amplifier, mixer or VCO ? Testing on-wafer or measuring through SMC connectors ? Why ?

To measure the key electrical characteristics (Gain, DC current, etc) is good to do on-wafer test.
For a full characterization, over extreme temperatures, voltages, etc., is good to use an evaluation board.

thanks for your reply. If I do measurements in an evaluation board, wouldn't the output signals be affected due to package pins capacitance, working at high frequencies (ex. 900MHz) ?

You have to carefully de-embed all the parasitics and the losses introduced by the evaluation board (using a VNA).
A good material for evaluation board is recommended, with good characteristics at frequencies specified in the datasheet of the evaluated circuit.