Yes, closed vs open is the main difference.
However there may be internal optimizations. In Box2D edge chain shapes are used to create large, free-form shapes like the edges of a cave system. Edge chain shapes have the advantage over "normal" edge shapes that they can be connected together to create seamless transitions. In Box2D if you create multiple edges the objects sliding over the edge shape may stop at boundaries, while edge chain shapes solve this problem.
Given that I'd say it's fair to assume that chain shapes are better optimized for free-form collision shapes, especially if they are comprised of many vertices.
Refer to the Box2D manual (Chapter 4: Edge Shapes, Chain Shapes) for details.