If you search for parkour in Sheffield, you will see both paid indoor classes and free outdoor community sessions. Neither option is automatically better. They solve different problems, and the best choice depends on what you need from your first few months of training.
Indoor parkour
Indoor classes usually provide a controlled venue, set class times, soft equipment and a coach-led format. That can suit younger children, parents who want a managed environment, or adults who prefer a booked class structure.
Outdoor parkour
Outdoor training teaches the discipline in its natural setting. You learn to check surfaces, adapt to weather, share public space and use the city creatively. Sheffield is especially good for this because it has purpose-built spots, parks, steps, rails and steep terrain close together.
The honest answer
If you want structured paid coaching, try an indoor class. If you want to meet the local community and learn how parkour works outside, come to a free session. Many people do both. The important thing is to start with basics, stay within your limits and train with people who respect the discipline.