The "End this dialog" event ends the current part of the conversation but the turn continues. A common use case is to end the dialog and return the conversation flow to the calling dialog. The "end turn" event, on the other hand, tells the runtime that the bot has completed its work, or its turn, and now it is the user's turn. The runtime then waits for another input from the user. Because the runtime is a big loop you always need to end the turn, otherwise the runtime will try and re-process the last message sent from the user.

Here is the official definition from Microsoft:

End turn: Ends the current turn of conversation without ending the dialog. The bot is listening for any intents.

End dialog: Ends the active dialog.