I don't see how knowing the answer to this is going to make anyone a better musician, but, for a laugh, here's my attempt at an answer...
System exclusive messeges are midi messeges which allow non-standardised communication between midi devices. What does this mean? Well, your average, every day normal midi signal will tell your midi device to (for example) play an F# with such and such a velocity and for x amount of seconds. Now, it doesn't matter whether you're triggering a Korg, a Roland, a Casio, a VSTi or anything else you can think think of that can be controlled by midi- no matter what midi instrument you're using, then the instruction will always be the same.
A system exclusive midi message on the other hand is, again, just a package of information BUT this time, what the midi signal means depends 100% on the midi device that's receiving the midi signal.
So, if I have a song that contains a bunch of SysEx messages then if play my song in Cubase, then the SysEx information may be interpretted as instructions which are all to do with (for example) controlling the mixer.
If I take that very same song and direct the SysEx midi messages to, let's say, a Korg synth, then that same information may now be interpretted as instructions which are all to do with (again, for example) filters.
So, all I've really tried to do so far is clarify the definition of SysEx, as I understand it.
This pretty much gives a clue to the answer to your question- I hope. I could be wrong, but I'm guessing that maybe what you're talking about is the difference between raw SysEx messages (i.e.- they've yet to be assigned to any particular function on a midi device) and midi SysEx messages which are already assigned to a specific device and are carrying out a very specific function (eg- controlling the fader on your sampler, or something like that).
Does that help?