Here‘s a good practical discussion of what the government’s removal/return distinction means on the ground.  Suppose you’re on the authorities’ radar.  You could fight them in court.  But:

[I]f one
cannot afford to put up such a fight or if one simply lacks the legal qualifications
to win a deportation case or appeal or to reverse an adverse Immigration & Naturalization
Service decision, it is often preferable that such a person voluntary leaves
the US WITHOUT BEING ORDERED DEPORTED. This compromise is known as voluntary


Although it results
in the ultimate departure of the US, [voluntary departure] is always preferable to being ordered
DEPORTED, an order of DEPORTATION / REMOVAL means that one CANNOT return to
the US without special permission from the Immigration & Naturalization Service
which is hard to obtain. 

Further details:

many people, voluntary departure is not considered a successful disposition
of their matter. After, all they still must leave the US. However, voluntary
departure should not be considered in a negative light. It is actually a privilege
that one must win. Many people do not qualify for such a privilege and find
themselves subject to a permanent or long term bar from reentry. However, as
I have stated before, the person who leaves under voluntary departure can return
to the US legally and is treated as if he was never deported, a much better
alternative to deportation. 

“Better”?  Sure.  “Much better”?  That’s hard to believe.  Since the typical illegal immigrant will never get legal permission to reside in the U.S., “voluntary” departure apparently just buys you the future possibility of a tourist visa.

Am I missing anything?