The conversion ad is a variation of the traffic ad. With the conversion ad, we are optimising our ad for a specific conversion.
For example, leads, clicks, purchases, registrants, add to check out, etc.
Therefore, the cost of conversion ads is typically higher because the quality of the lead is generally better.
Having said that, it may be more beneficial to start with a traffic ad to get your bearings with running ads. The traffic ad it very easy to set up and will tell you if your opt-in page is converting or not.