the keensert locks in place with little tabs, whereas the heli-coil needs the fastener to be installed to properly "grab" the inside of the hole properly.
keenserts are stronger and MUCH harder to pull out, BUT (as was mentioned above) needs a MUCH LARGER HOLE for the installation (a 10-32 keensert needs a 5/16 hole) so in high stress areas (like for cylinder heads) IF you have enough material to handle the modification without weakening anything, go with the keensert.
I always used keenserts on high stress areas, or where I had damaged threads INSIDE the motor, and heli-coils for like side cases, and valve covers and such.