Escrowed GMX (esGMX) are tokens, which you earn while staking your regular GMX. (You earn esGMX from GMX token emissions + ETH from the Fees)
The earned esGMX Tokens can be used in two ways: Staked for rewards same as regular GMX tokens (Compound)
Vested to become actual unlocked GMX tokens over a period of one year (Claim)
Each staked esGMX token will earn the same amount of Escrowed GMX + ETH / AVAX rewards as a regular GMX token. Therefore, the only difference between GMX vs. esGMX is that esGMX are "locked" and regular GMX tokens are "unlocked" which means you can transfer/sell them at any time.