<p>Are the two events the same or are there differences that we should take note when coding the keyboard presses?</p>

The key down event happens as soon as the user presses a key, the key up event happens when they release the key after pressing it.
So if you use the key up event, and the user presses a key and holds it for 5 seconds, nothing will happen until they let go of it.
(Note: I know nothing about .net, I've just used 'key up' and 'key down' events in other libraries.)