Should be the same... my understanding of NWN is that gamespy is merely a portal for connections. Gamespy itself does not receive any game info once you have connected to your server of choice. Direct connection is really a misleading name, as all connections to all servers are direct connections. The 'direct connection' option only lets you type in an IP of a game server, regardless of whether it is listed in gamespy or not (for example over a LAN that is independant of the internet).
The shortcut that can be made to nwnmain.exe is merely a quick way to bypass all of the menu junk and gamespy rooms and listings and just connect straight to the server that is listed in the shortcut with +connect. It is the same as a direct connection, just a faster way to start the game, rather than going through the whole menu.
Death Dealers ::DD:: Laufer - Gemetzel - Force - Little Fist - Egil - Torture - Hatshepsu - Nemesis - Hierophant - Supernaut - Flesh Hound - Insurrection - Antithesis - Dead of Winter - Volcanus 2000