In previous versions of Photoscan there was no option to create a DEM, only to create a Mesh. The Mesh and DEM are similar in that they are both models from the interpolated Dense Cloud. If you're unsure if you need a Mesh for your products simply stay with creating DEMs.
Using a DEM will sometimes yield better results when creating True Orthomosaics (an Orthomosaic based on a DEM and not a DTM) near building edges than using a mesh. This is because a DEM is interpolated using IDW whereas a Mesh is using linear interpolation to create a model.