"Die On Error" option terminates the job in case of any exception happens at the component level.
tDie component throws an error and kills the job when it is triggered.
Difference when compared to "Die On Error" is, you can have customized error message and error code to have process specific technical error codes and descriptions along with job termination.
If "Die on error" is not enabled, job throws warning and moves on to the next trigger task with in job. You can enable this option only if you want to purposely terminate the job if any exception thrown at component level.
Use tDie to terminate the job at any level (job or subjob) with customized error code and description captured at tLogCatcher component. tDie is more on your business technical requirement termination conditions.
