What is the difference between AxInterop and Interop?

Interop.xxx.dll and AxInterop.xxx.dll are runtime callable wrappers (RCW) for a referenced COM and an ActiveX dll respectively.

interop.xxx.dll is purely an automation (a COM dll) wrapper, enabling you to manipulate the object within the namespace of your application. AxInterop.xxx.dll is a control wrapper for a ActiveX control, which can be dragged onto the form.

The AxFoo.dll assembly contains an automatically generated class that's derived from the System.Windows.Forms.AxHost control. It is pretty simple, it has methods, properties and events, the same ones you have available in the .ocx, that simply call the Foo.dll interop library.

So, yes, you definitely need to deploy both assemblies.