well MyWi..AT&T doesn't know your using your phone as a WIFI hotspot
the phones Personal hotspot is controlled by AT&T
There is a thread here:
http://forums.everythingicafe.com/threads/has-anyone-got-this-text-from-at-t.72088/
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.