There are a lot of differences between a grad scheme and an entry-level job. In a short description, grad schemes are very structured compared to entry jobs. Usually, especially if you apply to something like a software engineering grad scheme, they will rotate you between positions to get you to learn as much as possible (you will probably do front-end for like six months and then do back-end for another six months). Whereas in an entry-level job, you would probably just work in back-end and not really learn/move positions that much.
In terms of benefits in a grad scheme, you are guaranteed a pretty substantial raise in pay after one year, as well as the added benefit of working in an environment that allows you to learn a wide diversity of skills.