Difference between SDM and SDM Express

You might not have enough flash to hold the full SDM on the router, while the SDM Express version is pretty basic, theoritically smaller?

On the newest routers that have 128M CF cards, its not so much an issue.

On older routers where that may be 32M?

I don't have a list of differences but, in case its not obvious, SDM Express has far fewer features than SDM and therefore cannot be used to manage anything beyond a fairly simple configuration. For example, IIRC VPN management is not in SDM Express.

Another reason might be that SDM loads faster from a PC than it does from the router. If I load SDM from my router, I get asked for username and password three times. If I load it from a desktop icon I only get asked once. It may be that I've got it set up wrong of course.