Not sure what's the confusion here, the difference is basically you either get +1 to pickpocketing or an Advantage to pickpocketing.

  • Gloves Of Power grants you a mere +1 bonus to pickpocketing, not worth whatsoever.
  • Gloves Of Thievery grants you Advantage on pickpocketing, meaning you roll two dice and go with the highest dice rolled

Gloves of Thievery are the absolute necessity if you're stealing items, because you're rolling two dice. And since most items worth something require a DC 25-30 checks, the chances of surpassing those checks is higher with Advantage since you have two chances to roll a high dice.

Not to mention that with Advantage your chances of rolling Natural 1 are much lower, because one dice can roll 1 but the other anything but 1. Couldn't believe my luck when I failed to steal a [Dye Remover] (-5 Roll required) because both dice rolled 1. A Ranger with +16 to Sleight Of Hand rolls Nat 1 on both dice >.<

So basically; always use Gloves Of Thievery no matter what, because regardless of how high your Sleight Of Hand is, you can still fail checks by rolling natural 1. Advantage = less chances of failing a pickpocket roll and better chances of reaching the high DC checks.