I think they explain the difference in Nature Protocols web page. Nature Protocols publishes on-line peer-reviewed articles on detailed laboratory protocols submitted freely or by invitation. The protocols must be already proven (e.g. appearing in articles previously published articles).
Nature Protocol Exchange is an on-line open resource where researchers may submit laboratory protocols without peer-review or editing.
Therefore, the main difference are: 1) the peer-review process; 2) the editing process; 3) previous publication