codex: OpenAI's agent harness. The thing you typically want to interact with when you want an agent powered by OpenAI models to do stuff on your machine. Abstracts the low-level functionality of their API so you don't have to worry about it.
openai-cli: A simple CLI exposing low-level operations against OpenAI's REST API. The thing you'd use for creating lower-level scripts to directly call the completions API, administer accounts, etc.
Honestly, this is obvious by the name alone. If it's not clear to you, then this isn't for you. No need to get worked up about OpenAI releasing a piece of software where you're not the audience.