Generally speaking, FBX is far more complex than OBJ - it supports mesh data, color data, vertex painting, animations, lighting, rigs, joints, skinning, cameras, etc. OBJ is much simpler, supporting just 3D objects and their geometry.
For Roblox specifically - if you’re only working with meshes then OBJ should be fine. If you need to import animations, rigs, vertex paint, etc, then you would need to use FBX.
AFAIK this happens because Blender also exports hierarchies with FBX, so unchecking ‘Import file as single mesh’ in the Asset Manager will divide everything into separate objects as they were in Blender.
I don’t believe there’s much benefit to doing this aside from improving workflow by not having to manually export several objects (such as with OBJ’s Selection Only, cc @GrandShua123) and import them all individually.