the difference is that mist is a wallet enabled browser and ethereum wallet is Mist with browser wallet disabled for using it as a wallet.
You can use one address in both blockchains, but you cannot send funds/tokens over to other blockchain, because they're separated in own independet state.
But that what goes on is the more inner knowledge about ethereum.
if you want to know more about this here you have knowledge about this, I just readtrought for fast eazy understanding of this to reply you to this post.
https://ethereum.stackexchange.com/questions/21523/ethereum-wallet-vs-mist-vs-testnet-vs-mainnet/21536
Mist = wallet + built-in own browser, and Etherum Wallet = exactly the same wallet, but the built-in browser is disabled.
Why do I need a browser?
For complete autonomy?