Coated deck screws have a different head: it's less square and needs a tapered square bit.
This means you need a deck screw bit, but you could use a normal screw head too if only fastening a few.
These screws also have more friction at the shaft & thread. You need more torque to insert, but the head/bit interface is capable of less torque due to the taper, and it will maybe strip or cam-out sooner.
This means that for a larger project your materials cost is somewhat offset by more labour time and frustration. On net it may not be a big deal, especially with the correct driver bit.
If you find there's a price difference, compare with elsewhere to see if the coated screws are under-priced (good for you) or if the normal screws are over-priced (and so buy elsewhere). Quantities matter too.