Pentium G4400 should not even be in the question, it's a dual-core without hyper-threading, Skylake CPU on the obsolete 100 and 200 series chipsets. Pentium Gold G5400 is what you should be comparing with your other option, it's an 8th-gen dual-core with hyper-threading and can be upgraded to the current-gen 6-core i5 and i7 on the 300 series chipset motheroards.
You would want a GPU to go with the Pentium, so whichever fits your budget. Pentium + GPU or Ryzen 2200G.