The difference between Gold ETF and SGB is very similar to Mutual funds and Direct Equity.
Gold ETF is a fund. The scheme invests in Gold and then sells the fund units. The NAV is decided mainly by the gold price and the fund's performance. As usual, like any fund scheme, there are fund management expenses. The Gold ETF NAV will not mimic or move like the Gold Price (there will be a lag) since it is an ETF.
SGB is directly linked to the gold price. There is no management cost, hidden charges, or expenses. SGB is simply mimicking Gold; it is not backed by physical Gold held by RBI or any other bank. Since SGB is directly linked to the gold price, you will see the direct benefits (or losses). Between the two, there is no better or worse. But because SGB is CG Tax-free if held till maturity, it may have better returns. Gold ETFs are always taxed, no matter when you sell. But the advantage of SGB comes at the disadvantage of being locked for years. SGBs can be transferred to Demat Account and traded before maturity.