The other big difference is that with Thimble, you have a little file system for multiple html/css/js files. (JSBin/JSFiddle/CodePen etc only give you one of each within a workspace).
This makes it a really great way to teach basic web design/developed for an entire site (as opposed to individual components which I think CodePen etc excel at).
You're right. I was excited when HyperDev launched with support for multiple files in their web editor [0]. It really changes broadens the scope of what can be accomplished — the line between "snippet editors" and full-blown web IDEs is becoming increasingly thin.
This makes it a really great way to teach basic web design/developed for an entire site (as opposed to individual components which I think CodePen etc excel at).