Short answer: cv::Mat uses the heap to store its data, while cv::Matx uses the stack.
A cv::Mat uses dynamic memory allocation (on the heap). This is appropriate for big matrices (like images) and lets you do things like shallow copies of a matrix, which is the default behavior of cv::Mat.
However, for the small matrices that cv::Matx is designed for, heap allocation would be very expensive compared to doing the same thing on the stack. I have seen a block of math reduce processing time by over 75% by switching to using stack-allocated types (e.g. cv::Point and cv::Matx) instead of cv::Mat.