What is the difference between vulnerability and issue in bulk actions?

The two options under bulk actions refer to pushing information to external tracking systems.

Create new issues for all requirements

Will create an issue for all required countermeasures to the configured issue tracker (Jira, Servicenow, TFS) 

Create issues

Will bulk create an issue for all required countermeasures to the configured issue tracker (Jira, ServiceNow, TFS) regardless of their state i.e. Recommended/Required

For more information on issue trackers please see the here.

Create new vulnerabilities for all requirements

Will create an vulnerabilities tacking case in Threadfix for all required countermeasures to the configured Threadfix endpoint.

Create new vulnerabilities for all requirements

Will bulk create a vulnerability tracking case for all required countermeasures to the configured Threadfix endpoint regardless of their state i.e. Recommended/Required

For more information on Threadfix please see here.