There are a few differences that I have read about. Can't remember the specifics.
I have found that it is easier just to develop using the server and not the desktop version. That way I know for sure 100% that what I am creating will work on the server.
As long as the app stays in your work area and you don't publish it then nobody can see it until you are ready for them to see it. It also is somewhat available to other developers (if you have any) to look at your app if it is on the server. Just a little easier to share.
There may be other compelling reasons to do one over the other. But that is all I can think of based on my experience so far.