This is a good question, since the ability to create To Do items is a relatively new feature. In the past, the debate used to be between Calendar events and zero-point, no-submission Assignments for how best to grab student attention.
I used to create Calendar events and link to the course's weekly overview pages, just to leverage the visibility of the To Do list. Now, I've started making those into To Do items at the page level.
My best thought here is to do some experimenting as the Test Student. Do some experimenting with colleagues, where you're enrolled in a sandbox course as a student. Try out the features. What effect are you looking for? Do some usability testing with students. Do some surveying.
Which is the long way of me saying that I don't personally see any palpable difference between To Do items and Calendar events, and my general Spidey-sense says that different users will feel receive them differently, but likely not in any actionable way that you can leverage for better effect in a course design. However, I have no empirical data to support my guess.
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