Hi Anup,
The basic difference between these two access type is as below:-
Controller for MDX(SAP BW):- It can be used when you have the queries marked as by OLE db for OLAP in the query properties in Bex.
Controller for Easy Query:- It will give you only the list of the queries available in the system as marked as 'by easy query' in the query properties.
Thanks,
Priyanka