Chord Notes will only allow you to play notes of whatever chord you are triggering. So if you play a C Major chord of C,E&G you can only trigger those notes across a range of octaves.
Chord Extensions in the same scenario will only allow C,E,G and B, D, F & A Allowing for more versatile and complex melodies that still sound right.
All the other options in Keys Lock force everything you play into whatever scale you are currently in.
Hope that makes sense.