In theory, they do the same thing. In practice, it's going to depend on your project. I often use the IntelliJ runner for running tests because it's often faster for individual
test classes. However, Gradle has clever caching which sometimes makes it faster.
You do need to use the Gradle runner if Gradle sets up prerequisites, like code generation, or if the Gradle Build has plugins that you need to run your code (for example, I have some Javafx projects that only run with the Gradle Build runner).