Tunnel and proxy modes are two different methods to record an application but should lead to the same results at the end.

Usually you use tunnel mode when the proxy mode cannot be used for your application. It's for example the case when you have a native mobile application that is not aimed to go through an HTTP proxy. 

In that case you will use the tunnel mode. Basically, we recommend to use tunnel mode only when proxy mode cannot be used. This is because it requires administrator rights on the machine and so it's a little bit more difficult to setup.

Except that the script that will be recorded is the same with both methods.