The difference is essentially like the difference between a Johnson and Johnson Bandaid and a Curad First Aid Strip.
Kydex is a Brand Name for the product made by Kleerdex Company.
For the end user there is virtually no difference between the two products although as a manufacturer I find Consealex to be a bit more temperature sensitive when forming.
Kydex is available in many solid colors, unfortunately only a few in the thicknesses we need for sheaths.
When you see material with a pattern such as the camouflage or Carbon Fiber it's Consealex. The problem with this is that the pattern is a thin film applied to the material so it will wear away with use.
Neither product can scratch knives since they are significantly softer than steel. What happens is the something hard (like grit)gets into the sheath and embedded into the material.
I regularly cut both materials with a knife, One night just for the heck of I figured out approximately it how long I cut before needing to sharpen. I came up with a cut of about 1/4 Mile. I doubt that something that will scratch a knife would allow the edge to remain for that long a cut.