There is not a big difference, it is just the location where the information is stored. For Qlik Sense Desktop the data connection is stored in the QVF file and can only be used / managed if you open this Application. In the Qlik Sense QMC you can create Data Connection witch will be stored in the Repository and can be used in different Applications and managed in the QMC.
When using Qlik Sense Desktop (the free product) - connections are stored in the application itself, which is written as a .qvf file - stored on the local drive of the Qlik Sense Desktop installation. There isn't any management or security on this connection, nor centralized storage or reuse of the connection. Each new app needs to have a connection created - in order to access data.
The Qlik Sense platform - has a management interface known as the Qlik Management Console (QMC) - Connections are MANAGED here in the QMC only - THEY ARE NOT created in the QMC. You create a new app from the HUB interface - and create the connection in the app (if security rules allow) - that connection CAN ONLY be seen by the user that creates it and can be reused in another app without having to be created again. The connection is stored in the Qlik Sense repository.
In the QMC - you can then MANAGE this connection with security rules - and then make that connection available to others - so IT CAN BE reused by other users and applications.
Check out these videos to learn more about the Qlik Sense platform:
There will be one on security rules and data connections shortly.