To be honest, cycling on the cycle path would always be the safer option, but in most cases there unfortunately isn't a cycle path, and I think you can receive a penalty for cycling on the pavement (don't hold me to that).
Having said that, I do still find cyclists on the roads really annoying most of the time. There should definitely be some sort of limit on how bright a cyclist's lights can be though, because if they're dazzling you then they're just as dangerous, if not more dangerous, than they would be with no lights at all.