Yes, it works pushing the button on titlebar's left corner. Playback position is saved after pause, podcast swith or close the app. There is a setting to sync automatically after closing the app. It works well for me at least.
In theory MSI is more secure due that only can contain a program (Cardo) and cannot execute code by itself. But there is no difference in this case because both are compiled from the same source.
EXE is better known. Choose one and dont worry becasuse Cardo has autoupdate feature