Both locations contain wine, but launching EXE works in little different way. The first wine open just one instance of windows application, the second open as many applications as you click on given dock icon - however another icon is created on the dock.
So, I'm curious what is the difference a what is the right purpose of both.
That’s the launcher for the app bundle, I’d you use “open with” wine will be launched using NSTask, if you launch the bundle directly an Apple Script is created then launched that then launched Terminal and sets PATH leaving you with the standard macOS “wine terminal” session.