When you are making a plugin which you intend to distribute, either internally or to other developers, you would put your functionality in a plugin module and use IMPLEMENT_MODULE.
When you are making a game project, you can split up your game into separate modules. When you do this your secondary modules would be declared with IMPLEMENT_GAME_MODULE. Now, looking at the generated code you can see that under the hood, IMPLEMENT_GAME_MODULE just expands to be IMPLEMENT_MODULE. However, by using a different token UBT is able to pick up on the difference when it is processing your project.