No major difference

Express uses all of the default components and lays them down, so database (Postgres) and web application server (TomCat) it also sets up FME Server as a system user. In the Distributed installer you have much more granular control, so you can connect to an existing Postgres instance and use an existing TomCat or swap out these components for something else, like Oracle and Weblogic... you can also define a specific user to run the service as. So plenty of subtle adjustments that make the distributed approach more flexible if you're looking at having more control over fault tolerance or say putting different components on different machines. See here for more.