Compared to a control, a component is very simple. The biggest difference is that a component does not go on the form physically. It is shown in the component tray in the designer but at run-time it is simply held in a variable. Not having its own window and all of the variables and message processing that are necessary for a control is a resource-saver. More importantly, making a class a component instead of a control makes your intent for the use of the class more obvious.
The whole idea behind the component class is that it can be used in a designer, allowing us to do more in the designer and less code writing. It has nothing to do with controls.