There is only one difference that I can think of.
The app server maintains a pool of EJBs. The EJBs are reused for every web service request. Thus is your web service has to do some initialization, it will do it only once and can then service multiple requests. Of course, if the EJBs are not used they can time out and be removed from the pool.
For POJO web services, a new instance is created for each call. Thus if you need to do initialization, it happens for every request.