Explain :connect depricated and :Connect replacing it?

So basically using :connect in a function may not finish the function?

i.g

This Works?

game.Players.PlayerAdded:Connect(function(plr)
    --
end)

function playerjoin(plr)
    --
end

game.Players.PlayerAdded:Connect(playerjoin)

And this doesn't?

game.Players.PlayerAdded:connect(function(plr)
    --
end)

function playerjoin(plr)
    --
end

game.Players.PlayerAdded:connect(playerjoin)