Yes there are differences. Which one is better for you will depend on your preferences.
KF8 (azw3) more closely matches the HTML/CSS formatting originally supplied by the publisher to Amazon. KFX is highly processed and the resulting formatting can be noticeably different.
KFX format taken from a Kindle app has image resolution and quality that more closely matches that supplied by the publisher. KF8 images are generally reduced in quality as compared with KFX. (However KFX taken from an e-ink Kindle device will have even worse quality than KF8.)
In some cases KF8 can have an associated AZW6 file that has higher quality images, close in quality to those available with KFX. An
image merging plugin is available for calibre that can substitute those images into a KF8 file resulting in both HTML/CSS fidelity and good image quality.