Have their own RAM which they don't have to share. More RAM = better gaming textures/no memory limitations
Dedicated GPU RAM is faster with a wider bus and tighter timing
Dedicated GPU's don't have to worry about the amount of heat/power the CPU side puts out and vice versa.
APU's (CPU's with GPU's integrated graphics built in)
are a ton cheaper
make assembly easier for the first timer and
can always be upgraded more cheaply later.
That said you can run a lot of games on 2400g with settings turned way down on 1080p and 720p. My kids even play Roblox on a 4K monitor with one. (Yes it's scaled) But I can also run Train simulator at 30fps @1080p. Not too shabby for a an iGPU.
You could start with a 2400g for $99 used and play with it and find out if you like it. If you don't you could sell it for $75 easy and get a powerful Ryzen 2 (3000 series) and dedicated GPU.