Mirroring to any external monitor or TV is just that...a mirror. What happens on your phone will happen on the monitor.
I still haven't gotten around to messing with DeX on my Note 20, so I don't know if it functions the same as with my tablet, but if I connect my Tab S4 tablet to a monitor, I can have DeX functionality on the monitor and tablet functionality on my tablet screen. This allows for independent operating of both at the same time. So I could be watching a video via DeX on the big screen and checking email or web browsing on the tablet screen...or vice versa.