what is the difference between the two ?
Exit = Application Exit - return to either calling application or redirect to whatever exit url was defined in your application or application link settings.
Cancel = Cancel the Transaction - You are busy editing a record, but decide to discard your changes, you can cancel, This will either keep you in the form application if you are only using a form in form view, or return you to the grid, if you are using a grid/form. No commit happens.