[Q] What's the difference between running traditional tests and using the Yii module?

I'm new to functional testing and got confused when reading about the Yii module documentation.
What's the difference between running tests using the module and not using?

I thought at first that the tests would load the page and work on them as a user would (externally), instead of dealing with the page inside the test's code - what would trigger issues with `header` and `exit` calls as stated.

I guess running the tests that way would be more resource intensive and slow? Is it that bad the way we currently have to test Yii apps?

Would there be a way to integrate the tests generated by the framework with Codeception instead?