What is KMZ?
KMZ is simply a zipped KML, and it is what Google Earth actually exports - the zip lets one file carry its images and icons alongside the geometry. The geometry converts; the artwork inside does not, and the result says how many pieces were left behind.
What is KML?
KML is Google Earth's format, and by extension the one most mapping tools will import without argument. It describes placemarks, paths and polygons, and it can carry styling - colours, icons, line widths - alongside the geometry.