They do different things.
Immediate window:
The Immediate window is used at design time to debug and evaluate expressions, execute statements, print variable values, and so forth. It allows you to enter expressions to be evaluated or executed by the development language during debugging.
Command window:
The Command window is used to execute commands or aliases directly in the Visual Studio integrated development environment (IDE). You can execute both menu commands and commands that do not appear on any menu.
The immediate window is a debugging aid.
The command window lets you execute commands (say menu items) at any time.
Though they share some functionality they each have a separate focus.