The Salt Lake CSA (~2.4 million) looks ridiculous on a map because it's so large in terms of area, but the population is pretty close to representative of the three MSAs (three valleys) that are continuous through two geographic bottlenecks. More than 90% of the population of the CSA is concentrated in four of the smaller, adjacent counties and the outer, larger counties are almost completely wilderness and farmland. For example, the Great Salt Lake and Bonneville Salt Flats (and much more) are entirely within the Salt Lake CSA boundary.
The SLC MSA is close to representative of the population of just the Salt Lake Valley (~1.2 million). Almost all of the people in the MSA would say they were "from Salt Lake" if asked, whereas people from the other two MSAs may not. Maybe that makes it a better demarcation for what constitutes the city, but it's also roughly equivalent to Salt Lake County so I'm not sure what the added value of the MSA itself is.
So I guess my answer for SLC is MSA but that answer may be very case-specific.