I haven't yet embedded a scripting language in my own system, but since I plan to in the future I've been reading up a bit on this. My opinion is that it doesn't really matter whether you pick Lua or Python; both are fine choices.

Lua's advantage is that it's light-weight, fast and easy to embed, since that's specifically what it was designed for. Python on the other hand is a fully featured programming language in its own right.

I'll probably pick Lua myself, but that's only because I like the academic-like nature of the language (plus it was used in Baldur's Gate and the old Lucasarts adventure games, I believe). And I now own a couple of books on Lua, so I might as well use them. But Python appears just as useful for the sorts of stuff I'd like to do, so if you already know a bit of it and like the syntax more then I say go with it. Pick one and then try your darnedest to get it to work.

I'm not sure what you mean by "Lua for Visual Studio" or "Python for Visual Studio." If you just want to be able to edit code files in those languages in Visual Studio, that does not require anything special (you won't get the syntax highlighting though). If you're looking for IDE plug-ins that allow you to execute and debug code in those languages from the IDE, you're likely going to be looking at something you have to pay for. If you can even find one. You can produce a usable facsimile of that functionality with external tools and macros in VS anyway. And it's cheaper.

Personally, I wouldn't bother going for IDE integration here. It's usually not worth the effort. Use 3rd party tools that were designed with those languages in mind, they'll generally work better.