Make Movie, when used for the first time after AE is opened, gives you the opportunity to name the output file and pick a location.
Add to Render Cue, when used for the first time, does not pick a location for the movie or ask for one until you specify it in the Render Cue.
Once you've picked the location to save the render there is no difference in the behavior. I've never understood why there are two menu items that do the same thing.
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> I've never understood why there are two menu items that do the same thing.
Make Movie was the original. In a misguided attempt to not break people's habits, the new way was _added_ rather than replacing the old way. I am on a personal crusade to fix this in the next version.