Adding to what others have replied, the difference is simply put: If you can write your custom function as a lambda instead of a VBA function you will not have

Adding to what others have replied, the difference is simply put: If you can write your custom function as a lambda instead of a VBA function you will not have to save your Workbook as XLSM (M for Macro). That means no warnings when the user opens it and much better security because the lambdas can only call built-in functions and other lambdas. To be honest, I think this is awesome and has been sorely missed.