Security of Screen Lock vs Log Out?

Hi all,

Mid 2014 MacBook Pro, FileVault, 10.11.6 with all updates current

Wondering if someone could explain to me the difference between using “Screen Lock” (System Preferences > Security & Privacy > “Require password X after sleep or screen saver begins”) and Log Out (System Preferences > Security & Privacy > Advanced > “Log out after X minutes of inactivity”).

Both seem to achieve the same purpose/end except Log Out quits all apps, while Screen Lock does not; it just goes to a screen very similar to the normal Log Out screen, except it only shows one user (there are two), but you can switch users there, then password must be entered. After Log Out, both users are shown, select user, then password must be entered.

However, a warning pops up when Screen Lock is deselected (checkbox is unchecked). See pic:

No warning pops up when Log Out is deselected. Does this mean something? Like Screen Lock is more secure than Log Out? If not, why no pop up warning when Log Out is deselected? See pic:

I would think Log Out would be more secure as it shuts down all apps, but if that were the case, why no pop up warning? Just one of those things without an answer?

Any thoughts appreciated.

Thanks!