Not in the most important way - either one updates your system to the new version.
Direct downloads are less convenient because you have to find the URL, download the file, open the disk image, run the installer, unmount the disk image, and throw away the download. You have to figure out which download applies to your Mac. You may download a larger file than necessary since a downloaded installer may be a "combo" that includes other updates you've already applied. That takes extra time, but is otherwise not a problem.
On the other hand, with the direct download you have the advantage that you can save the disk image to use later (e.g., if you revert your software) or on other systems, without having to download it again. So if you have multiple Macs and a slow Internet connection, downloading it for multiple uses may actually be more convenient.