CLIST and REXX are two different languages. REXX is the direction of the future and CLIST is no longer being enhanced. REXX also runs on several platforms.
There's no rule on when to use either one. I would suggest new code be written in REXX but not to worry about changing existing CLISTs to REXX.
Disclaimer: My comments on this forum are my own and do not represent the opinions or suggestions of any other person or business entity.