> Is it that the latter is for actually building/running the debug build locally
Yes, I think. `nix-develop` sets up the environment variables and functions required by the build, both on the Nix side and on the side of the application you're trying to build. So you get all the variables that will be in play in the Nix build sandbox, from the bash functions for each phase of the build and Nix-specific env vars to env vars for things like your CMAKE flags or your PYTHONPATH. `nix develop` lets you interactively explore the build exactly the way Nix will do it, so you can test each piece and maybe even try some manual build steps that aren't yet in place for a build that's not entirely working.
`nix shell` is a simpler 'hey, equip my $PATH with these programs, thanks'