For me, those two versions are exactly the same, put apart the wording of the second one is rather cumbersome... So you can use :
- dire + avoir/être + participe passé + complément (COD, CC de lieux, de temps,...)
- dire + pronom + avoir/être + participe passé (if the complement has already be defined in the sentence)
- dire + QUE + avoir/être CONJUGUÉS + participe passé
- dire + QUE + pronom + avoir/être CONJUGUÉS + participe passé (if the complement has already be defined in the sentence).
I hope I have not forgotten any case !