Is there any difference between "captured" and killed XCom operatives?

A captured soldier has a chance to appear as a VIP (or mission reward) in a mission and then can be rescued and reinstated.

Yeah, I can confirm that I had a case where a grenadier I had to leave behind on the Avenger defense mission (tragically! She was going make it but panicked on the turn I had to pull out) appeared as a VIP to rescue. I didn't put it altogether that this was my lost soldier until after, when she appeared in my roster as "Shaken" but not available. So, it is really cool you can rescue them but as someone else mentioned, they don't help you out afterwards, as far as I can tell.