The difference is texture and it comes down to personal preference. Some recipes call for egg yolks and some don't. After trying both, I left it as an optional ingredient. Adding the egg yolks makes the dough slightly easier to work with but not by much. The biggest difference is in the finished texture of the cookie. The Vanillekipferl with the egg yolks have a softer and slightly denser cookie-like texture whereas those without have a more delicate, melt-in-your-mouth texture.