You can program, save, and name presets in either mode. I look at Play mode as a 'performance' mode; mainly because of the Flex switch options (p. 35-36 in the UM). There are other advantages: Tap Tempo, if you use that; and the tuner.
The tuner there makes sense to me, because I'd tune up to what the PitchFactor wants to 'see' prior to performing -or- programming. Difficult enough with two feet free. The output level and level meter might be something you want to check before performing, but also while programming.
Active / Bypass is switchable for one preset in Play mode; two presets in Bank mode. It seems like Bank mode would be the ticket if you had to switch between presets in a song, or spent the time to draw up a strict sequence (upwards) to match your play list.
Once I integrated the PitchFactor into my MIDI setup, though, the differences between Play and Bank modes melted away. It all becomes one 'PitchFactor mode' that combines all of the features together. A two- or three-position Aux switch also has a way of blurring the lines.