A lot depends on the build. The easier question to answer is that if you're using the weapon with melee attacks (Malthael's Wrath
Holy Lance), your strength increases the damage put out by it. Which stat to raise depends on how you play the class. For example, if you were using terror strike to kill enemies, Strength would boot its damage. If you're using Lazer beams as the damage dealer, Energy would boost its damage and might be worth looking into. If you're building a survival mode pally that keeps Tainted Blood and Vindicate up at all times, Vitality would boost the amount healed per time.
There could be other builds for dexterity but generally, if you're not using a shield and your weapon isn't boosted by dexterity, I would never raise it any higher than necessary to hit opponents.