One of the biggest differences I've found is the time taken to teach routines. Cathe does not spend as much time teaching as a live instructor b/c you own her workout, you'll be doing the same workout more often, and after 3-4 times you know the routines pretty well.
In the club though they take more time w/instruction b/c there are people at different levels, & people who might not have taken the class or done the routine before.
Both have their benefits, but the fact that Cathe doesn't spend as much time explaining moves, & spends more time w/higher intensity, makes it a much better workout. JMHO.