When you subscribe to a calendar what you are doing is enabling your calendar program to periodically check-in with the website and download the latest information. This is greatly preferable to downloading, as it will serve to keep your calendar automatically "synched up" with the website's calendar.
When you download the information, you are retreiving a copy of the calendar data as it exists on the website today. This is important to understand, because our calendars do change. Events are cancelled, times change, new events are added so your calendar will get stale over time. You should periodically return to this page and re-download the data for your calendar.