Actually both are the same thing, except when you enable Import Dropped File as Single Part in Preferences > MIDI > MIDI File.
Instead of creating the tracks it creates only one event and merges the data from all the tracks. This is only for drag and drop. Apparently the other options are for classic Import, not for drag and drop.
In fact, the Export Locator Range will create a MIDI file of what is between the Locators only.
That means, if there is a 3 bars gap between the Left Locator and the first MIDI Event, the resulting file will have the same length as the Locators, and the gap will remain. In other words, the start of the file will be the Left Locator.
When Export Locator Range is disabled, it will export the whole Track starting from the very first bar.
Exporting the whole track length is actually good for when you want to save a whole arrangement and you have multiple tracks. Upon Import, it will create the same number of tracks with all the Events at their original position in the song.
So, if we want to make short MIDI files for drag and drop, we need to enable Export Locator Range, select the events individually, press P to set the Locators, then Export them one by one.
That’s very tedious.
A feature request has been posted for a more convenient use :