Yes, there's a significant difference! Keeping the files as .MLAPP means only one session of the MATLAB Runtime will run on the user's machine.
However, if you directly compile auxiliary modules and include their .EXE in your project, calling a .EXE module will create a separate session of MATLAB Runtime each time. Consequently, you won't have a handle for the auxiliar app, preventing information exchange between your main app and the auxiliar one.
Beyond that, this would lead to a poor user experience, given that the MATLAB Runtime takes between 10 and 20 seconds to load.