On-prem and Cloud roadmap is the same https://roadmap.dynamics.com there you can find details regarding new features and on-prem specific as well.
Even if you have a VM running in the cloud, it could use service fabric under the hood to scale up and down. Ultimate goal is to move from VM's to SaaS solution and it could be done seamlessly because no one has access to backend, so today it could be VMs and Web apps tomorrow.
On-prem and Cloud versions have same x++ code and same functionality, there are differences in deployment and integration . You cannot install latest PU or use DIXF but it's coming due to roadmap.
Don't forget there is third option Hybrid, that is coming soon.
Personally I think you want to go on-prem only because of 2 reasons: legal requirements and existing hardware. Otherwise it's simply cheaper to go cloud if you don't have hardware and licenses to cover all instances required, also you don't need admin person to support it.
If integration is critical to you it's better to go cloud as well, on-prem version missing some integration capabilities, they are on the roadmap but it does not mean that they are coming tomorrow, so it could delay your project.