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There are two vim Ex modes:

  • the vi compatible Ex-mode (vim -e -s),
  • vim improved Ex mode (vim -E -s).

Vim improved Ex mode allows for more advanced commands than the vi compatible Ex-mode, however what are the main differences? Or where I can find them?

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This is actually documented in a somewhat 'hidden' non-obvious way, from :help Ex-mode

Q                       Switch to "Ex" mode.  This is a bit like typing ":"
                        commands one after another, except:
                        - You don't have to keep pressing ":".
                        - The screen doesn't get updated after each command.
                        - There is no normal command-line editing.
                        - Mappings and abbreviations are not used.
                        In fact, you are editing the lines with the "standard"
                        line-input editing commands (<Del> or <BS> to erase,
                        CTRL-U to kill the whole line).
                        Vim will enter this mode by default if it's invoked as
                        "ex" on the command-line.
                        Use the ":vi" command :visual to exit "Ex" mode.
                        Note: In older versions of Vim "Q" formatted text,
                        that is now done with gq.  But if you use the
                        vimrc_example.vim script "Q" works like "gq".

                                        gQ
gQ                      Switch to "Ex" mode like with "Q", but really behave
                        like typing ":" commands after another.  All command
                        line editing, completion etc. is available.
                        Use the ":vi" command :visual to exit "Ex" mode.
                        {not in Vi}

The first paragraph (Q) documents ex mode (-e), and the second one documents the improved ex mode (-E).

With ex mode (-e), Vim tries to "emulate" Ex as much as possible, and a number of Vim improvements won't work (such as mappings, user-defined functions, line editing).

With improved ex mode (-E), Vim "really behaves like typing ":" commands after another".

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