Well yes there is a massive difference.
A CAPX is a zip file. When C2 saves a game C2 needs to compress the assets to the zip file. If C2 needs to get assets for preview I would also suppose C2 will need to extract and push. While although the prgram shuoldn't get stuck it is. CAPX is good for small games, sharing small projects, sharing bits of code. Once a game hits the big time with alots of assets.
A CAPROJ is all the assets inside foders and sub folders. There is no compression of all assets to a single file. This is good for larger projects.
I unpacked and saved as a CAPROJ into a folder and boom. Changes
10 seconds to load the project
10 seconds to run the game sucessfully.