It's a bit more than that...
Text boxes are in the draw layer, not in the text layer (see
http://www.word.mvps.org/FAQs/DrwGrphcs/DrawLayer.htm). For that
reason, headings, captions, and other things in text boxes are
"invisible" to a table of contents or a table of figures. Frames are
in the text layer, so things placed in them are available to the TOC.
Text boxes can do some tricks that frames can't, such as the
box-to-box linking that lets you arrange continuation into another box
that may be several pages away -- neat for magazine and newsletter
layouts.
A frame can be made part of a paragraph style, while a text box can't.
So for marginal notes you could create a style that includes a frame
positioned to the left of the main text. OTOH, you can format a text
box -- e.g., line weight and fill color -- and click the Default
button in the Format dialog, and that will become the default
formatting for new text boxes.
There's more, but that gives you the flavor...