The ER collet holders will accept a slight variation in diameter and still work.
ER collet holders let you change what size tool you can put in it just by changing collets.
The set screw holders hold just one precise tool diameter... period.
The set screw holders are shorter overall, slightly more rigid, and reduce stickout a little. Many people think they are slightly superior to the ER collet holders for machining hard materials (steel, stainless, titanium). I have both. I tend to agree, but I don't obsess over it as you have to use a holder that will hold the tool you have to use. Give me a choice if I'm going to do a high rigidity cut with a standard size end mill I'll reach for a set screw holder first if I have one available.
Set screw holder tools cost more than the ER collet versions in general, but you don't have to buy the collet... so depending on what you need/want that can be a win, or a loss.