That depends on on which thin client.....
Also for me, the difference is mainly pysylogical.
Some people are just OS-Phobic like when they see the client booting from a NON-Windows, they get so scared and worried. Somehow the Yahoo mail running on Chrome via the thin client seems slower or more laggy than the VDI from the PC. But when I give users a thin-client on WIN XP embedded, the problem disappears.
One of the true experience differences might be the USB drive and the local drive. Using the PC version users can see thelocal c:\ d:\ etc.
Users can also map the usb devices as VDI d:\ etc.