As a member of the Rx team, I can answer this:
The answer goes back to our changes from Rx 1.1 to Rx 2.0. We wanted the ability to keep the old style of using AnonymouseObservable around just in case, but for most of the time, you want the performance enhanced version.
There are big differences in both performance, and in some cases more eager disposal. You can find out more information about our changes here.