The difference can be seen like this: when you use root priviledges, you can do "anything", including installing malwares, deleting important or critical files, etc.
login as a regular user is good, because your rights (and hence the damages) are limited. You can lose all your documents, but not mess up (too much) your system.
Think about sudo as holding the crown (aka, the root priviledges) for a limited time. You are king while you hold the crown (ie, you are root while the sudo lasts), but before and after that you are a regular user, with limited rights so with limited capabilities to damage things other than your own files.
From a security point of view this is preferable to having a root terminal opened, where you would need to be really careful about every commands you type, at all time.
Sudo allows you to run commands when needed, and be back to your regular user faster.
The root terminal however can be usefull if you are about to run many commands as root. But for regular users usage, this almost never happem.
(logging as root is even worse: then every thung you run (browser, etc) run as root and a malicious user (or a mistake) in any of those programs could install a rootkit, or delete more than it should)