DS,
That is actually two different questions you are asking here.
The difference in properties and the importance of distinguishing them in an actual encounter. One, I suppose, could write an encyclopedia on each question and there are certainly individuals more qualified to answer than I (like Mike B.), but nonetheless, I will attempt a sufficient answer.
With respect to property differences between X, K, and Ka-band.
The older bands in use started with X followed by K and then Ka (followed by "digital" Ka). This has been a progression over a three plus decade span.
The original radar guns had very large antennae, where more difficult to operate, perhaps were more prone to "error" than the latest digital Ka versions currently being sold.
Furthermore, with newer radar technology, power (output) has dropped dramatically over the years, as well.
The difference in frequency of each (ie; wavelength) can be felt in different ambient weather conditions, as well. I believe X-band historically handles "wetter" more "humid" conditions historically than shorter wavelength RF (ie; higher frequency). NJ has recently conducted such a study as they continue to move away from X-band towards newer Ka band. The state actually conducted a study to observe the stability (ie; consistency in accuracy) of newer Ka versus their tried and tested MPH K-55 X-band units that have so faithfully provided reliable service to NJ over the many years (decades).
Ka is the radar band that is most often being sold in the country today. While there is still a tremendous amount of K-band in use (and areas where X-band are still in use), the bulk of new enforcement is either with Ka or laser/lidar.
The importance in this distinguishing between them is that when one receives a Ka alert, it is more often a bona-fide police radar source (although other cheap detectors can cause Ka falsing). X and K are used heavily in door openers around town and present other sources of alerting (although I don't consider these technically falses).
Knowing what radar is used in your area of travel is essential.
Ultimately, that is why I don't necessarily such that one radar detector is "best." It really depends on your specific needs.
It's been my experience that many radar detector companies are continuing to de-emphasize "sensitivity" to X and K bands with some notable exceptions. The value, they believe, I suppose, is that it reduces the b#tch factor from nascient users who would otherwise complain about a "noisy" detector.
Fortunately we have a lot of choices today (more so than ever) of plenty of capable and competent detectors. What's good for someone may not be for another. It all depends on what each individual prefers or prioritizes in importance, I suppose.
Which, at the end of the day, is why I write my reviews in the manner and style that I have always done. To enable the would-be radar detector owner to come to their own conclusions about what's best for themselves.
Hope this sufficiently answers the two questions that you asked.
Veil Guy