Francisco,
Microsoft Graph (https://graph.microsoft.com) exposes a unified endpoint for Office 365 and other Microsoft cloud services. In the case of the user profile information, the Microsoft Graph unified endpoint includes information coming from Azure AD, Exchange and SharePoint user profile. So when you call https://graph.microsoft.com/v1.0/me?$select=displayName,aboutMe,photo the Microsoft Graph federates the call to each service (AAD, SharePoint and Exchange) to get each property and aggregates a single response for you.
When you call the SharePoint search endpoint to get user profile information, first you need to discover the SharePoint endpoint for the customer, then you only get information stored in SharePoint.
Yes, both of them have to be authenticated requests.