Basically added is for an object or any of its children being added to any display list, and added to stage is for an object (not including its children) being added to the active display list giving it access to stage.
But if that's so, shouldn't addedToStage event be dispatched whenever added event is dispatched? In my externally loaded swf I can listen for ADDED_TO_STAGE event, but when I listen for ADDED event, my listener function is never called.