Madras University is the better option for an MBA. Anna University CEG is a reputed college for Engineering. It is more known for its BE and other UG courses.
Pursuing an MBA from Madras University or the affiliated colleges will offer good placements and exposure. A lot of companies and banks hire from Madras University. As per the recent highlights of Madras University placement, the average and highest CTC for the university are INR 4 LPA and INR 9 LPA.
You can opt for either university for pursuing MBA and will not go wrong. Both are University Colleges or University Departments and there is not much difference in the placement scenario. Both universities have the same weightage as well. Before making a decision, however, try to get in touch with the alumni of both universities for some clarity.
Anna University CEG has its own brand value and is a good place for pursuing courses related to engineering. MBA from Madras University, or from one of the institutes under Madras University, despite being good enough will obviously fall short of the caliber of the IIMs in India.