Various members of many forums were getting texts from AT&T because they were tethering without a tethering plan. So I would say that MyWi is detectable and has caused a lot of people to think twice about tethering.
Personal Hotspot on the device allows you to tether to your device to another to share the internet connection. That's it.
MyWi is a lot more diverse, it's one of the only things I've missed since jumping onto the beta's. With MyWi you can tether, obviously, but you can also bride your devices connection to another. For example has there ever been a time where you're in a coffee shop and they have wifi access, you get it for free on your mobile phone but not for a laptop or tablet. With MyWi you can connect to the public wifi and bridge the connection to your MacBook Pro for example over USB. Very, very handy. MyWi is definitely worth it's asking price as well.
There is no difference in speed between MyWi and the native Personal Hotspot. The strength of your signal reflects the speed of your connection.
MyWi On-Demand runs in the background, so when a device that's been connected to yours request an internet connection, MyWi fires up and allows the connection then quits when it's no longer needed. It's quite clever if you ask me. More information here.