The Student Courses block wouldn’t be the legacy option. With the WordPress editor’s transition to blocks, we will be focusing on Sensei’s blocks going forward. The shortcode could be thought of as the legacy option, however we don’t have any plans to retire it any time soon.
The Course List block and the Student Courses block do behave differently in that the Course List block is designed to show all courses on the site, which can be adjusted using the Course Filter block as you mentioned. Whereas the Student Courses block is designed to show relevant courses to logged in users — for example, to show courses that a student is enrolled in.
Thanks for clarifying the different options. One more thing I noticed: The Course Filter block does not work if you place the Course List block inside a Spectra container (https://wpspectra.com/docs/spectra-container-block/). But that is probably a different topic.