Main differences seem to be in the smoothness of application. For a massive big dent you'd start with a 5L tub from your local paint shop to build up most of it, then you'd ask for one of the little tubs of "easy sand" filler which goes on much smoother for finishing.
For a little dent go straight for the easy sand stuff. The paintshop stuff is much like the 1L tubs you'd get from Halfords.
I normally pull them out a bit , then weld up on nice low settings, polish out with a 7" fibre, then nice thick coat of paint. Depends how well it pulls out.
Probably quicker just to fill it though
Not me Some steel come to us with a big dent in it. Didnt notice until we'd spent 3 hours welding stuff to it. No doubt the dent will end up in the most obvious position.