Play mode

Hi, Really sorry for the dumb question I am about to ask, However what is the difference between play and clicking play in game mode? 

When I click in play in game mode no of the post processing or things I changed to the player etc are there it almost seems to default to something else. Am I missing something ? 

Sorry for the question I am trying to learn the engine for the first time so its a pretty big learning curve for me and not sure where to find decent documentation.