.jad files are called OTA (over the air) links, meaning you download them directly from your BB. You cannot download a .jad file to your computer and upload it to your BB.
.alx files are to be downloaded to your computer, then uploaded to your BB through Desktop Manager. (Hook up your BB, run Desktop Manager, click on "Application Loader", and browse for your .alx file)
I am a theme builder, and I can make a theme with either extension. If I am making a theme for only myself, I make it with an .alx extension. If I make a theme to share, I make it with a .jad extension. The .jad extension is more time consuming because it involves uploading multiple files (usually around 20) to a hosted site, in turn making for ONE .jad file for people to download.
Sometimes theme builders make .alx files available for sharing because they do not have a place to host their .jad files, or do not know how to make a .jad file shareable.
Or, they want to make the theme available for people who do not have internet on their BB.
Hope that sheds some light on it! Just remember - .alx = uploadable through DM (desktop manager) and .jad = OTA (over the air/downloadable over your BB)
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