No it is not the same thing because in the hypothetical Xephyr case the client doesn't need to know who or what executes the rendering command. The client also doesn't have to implement its own rendering as a fallback.
From a client perspective it is still the same thing if you're using cairo since that includes the fallback code already. But if you're making XRender requests directly then yeah it wouldn't be. (I don't know of many applications that do this, ideally it's something you want in the toolkit or drawing library)