A quick example that points this difference out clearly is the lack of a break type method in the polyline object. If you want to break a polyline, you must do the math and update the object. The same is true with the Extend and Trim commands. These commands are not available as methods for entity objects in the AutoCAD object system at this point in time. They may appear at any time in the future, however.
Objects do have advantages over commands in most cases though.
When you issue a command, you may or may not have the ability to select the objects you want to manipulate directly. Objects do not have that ambiguity. When you specify an object by reference, it is pretty clear what object you mean to manipulate. Object-level manipulations are available in Visual LISP too. You do have to use object references that can be created by converting existing entity names or by creating the objects directly.