Em suma, um é criar enquanto o outro é modificar. Aqui está a definição da Microsoft das duas funções;
What is the difference between the Define New Multilevel List and Define New List Style commands? The Define New Multilevel List command is convenient for creating and saving a list style that you won't ever change or that you will use in a single document. You can use the Define New List Style command to change the style design you created. If you use the Define New List Style command to define a new list style and then you make changes to the style, every instance of that list style is updated in the document.