Well, in fact of matter they both are same. But... Sometimes it is usefull to indicate the direct address of an register. For example, if you need load A from Rn so you write:

MOV A,R0

But , let say, you need to load R1 from R0. You cannot use

MOV R1,R0

because there is not such command of C51. Instead you should use

MOV R1,00h

- it will load R1 with contents of 00h location which is exactly the R0. Here we should remember one note: above command is correct only if you use register bank number = 0. If you use 1/2/3 so you should insert propper register address (for example above it will be 08h,10h,18h).
Keil assembler has special alias name ARx which indicate the address of register in current register bank.
Good days!