Your general question is not really answerable. There is no clear difference between "a shell" and "a console" in functional terms. There are nuances ...
As conventionally used (in the UNIX / Linux) a shell deals with interpreting the shell language, running commands, maintaining session state, and leaves the mechanics of user input and output to something else. The something else might be the OS / hardware, or it might be something like a local or remote xterm. One usage of the term "console" is for the thing that does that bit.
But the term "console" is also used to refer to something that provides higher level functionality; i.e. something that extends or subsumes the functionality of a classical shell, to provide something closer to what the user is presumed to want to do ... most of the time. I suspect that this is the case here.
So to answer your question:
But I would like to know why would a VPS provider chose [sic] to use a console. Is it more secure for them or what?
It depends on the console software involved. It could be because the console is more secure; i.e. it is easier for them to manage what you can / can't do. It could be that it is easier for them to provide the average user with management functionality for the virtual ... without having to take a course in Linux/UNIX system administration. It could be a combination of these and other things.
(Whether is is actually more secure for them probably depends on the technical ability of their admin staff.)
But the question is moot: they have chosen. If you really don't like it, your best option is to change to another provider.