In general, the main difference is that a signal event is simply broadcast out to all listeners, and the listeners trigger if they 'hear' the signal that they're looking for. On the contrary, message events are always directed at a single receiver.
It is possible to trigger both externally, also - so it really depends on the necessary use case that you're trying to meet. For more information about both, check out the User Guide sections for each:
Hope this helps 
bp3
