If I'm pre-approved for a card, Is there any difference applying with that link or regular application on their site? (For the same card)
No difference. As far as I know, 'pre-approved' means that you are simply at a stage before approval.
'Pre-approved' is also very often used by advertisers and other lead generators to induce you to fill out the form on their websites.
It doesn't, however, mean that you are guaranteed a credit card or a loan. Please correct me if I'm wrong.