I see now. I think the different between the two concepts can be used in advanced uses of components.
It is quite simple actually, you may think of objects as of instances of a certain class, and for that class as of the only instance of some hypothetical meta-class.
Therefore, all that is valid for the object can be applied to the class - the class also have its methods and data fields (static ones).
So, the constructors are actually methods of the class - they construct an instance of the object and return them back as a reference:
e1 := TEdit.Create(Self);
Means "call the method Create on (sole) instance of Meta-TEdit named TEdit and assign the returned reference to the e1". As lucamar said, the:
means "call the method Create on instance of TEdit named e1", but e1 doesn't exist yet and also does not have such a method.
It's simple.