Another (admittedly subjective) difference is that the category interface is just nicer than the private message interface.
A big difference is that if you receive emails for notifications there is no way of tailoring them per topic: you receive emails of all PM notifications, or emails of all PM notifications “only when away”, or turn off emails for all PM notifications. This makes a PM group inbox like a category where you are “watching” every post and potentially receiving emails for every notification.