which paraview archive is preferred?

There two different paraview archives:

The folder and file structure of both seem similar. What is the difference?

You probably want the "ParaView-5.6.1-Windows-msvc2015-64bit"

One is build with MPI, the other is not.
The one with MPI requires Microsoft MPI to be installed on your computer to be able to start.
It enables you to do parallel work with pvserver and data parallelism.

The non-mpi build does not requires Microsoft MPI and can’t be used with data parallelism.