I can give you some poor generalisations. Typically most saboted bullets are going to be modern type bullets that are under bore e.g. hornady monoflex. It's often a copper jacketed bullet that operates like a modern rifle bullet. I think the pros are they can give great performance under the right conditions. For me the cons are that because muzzleloaders don't have great velocity and they drop it quickly large game like elk get dicey.
I killed a buffalo bull with saboted bullets, but it was close range. The thread for that hunt is in the muzzleloader hunting section on this forum if you're interested to see the bullet we recovered.
Full bore conicals are just a large slug of lead, pros are they're going to work well even at low velocities. Cons are because you're looking at something that's going to be 400-600 grains opposed to under 300gn for a saboted bullet its going to have a big arc. If you can adjust for that though other than recoil there aren't too many downsides.
@idahoron makes a paper patched conical. If I had of stuck with shooting my fast twist caplock I think I would have graduated to casting something like what he uses. I've always found Ron great and happy to share information so maybe have a chat with him. As I mentioned earlier (I think) I'm just a round ball guy these days.