1. Here's the difference

You can apply an Effect to a single Clip.

Effects that are assigned to the Entire Movie will apply to all Clips.

The exception to this rule is if you have also applied the same Effect to one of your Clips.

In this case, the Effect in the Clip will override the effect that is assigned to the Entire Movie.

TIP: Having Effects in the Entire Movie gives you much greater effectiveness in creating your Project. You only need to edit the Effect once for it to apply across all Clips. 

Note: The Focal Length setting in the Handheld Camera Effect when used in Entire Movie will override the Focal Length of an individual Clip.  And, as expected, if the Handheld Camera Effect is added to a Clip, it will override the one in the Entire Movie.