Hi. What is the difference in “Workflow Action” and “UserEvent Scripts”. Can a “Workflow Action” be set to run only at certain conditions?

Yes, you can dynamically control entry-criteria for a workflow action from UI

So it could trigger when a SalesOrder was approved etc?

Yes

Thank you

It does partially depend on how you are approving the Sales orders - if you are using the workflow itself to do the approval - you have more control over it.