Yeah, it’s a bit philosophical.

• In graphical applications, Ctrl+M, Ctrl+J and Return/Enter are all different things.
• In a terminal in raw mode, Ctrl+M and Return/Enter are the same thing but Ctrl+J is something different. You can for example run bind -x '"\C-j":"echo a"' in bash and Ctrl+J will do something different.
• In a terminal in canonical mode, they are all the same thing. There probably are some stty options which can change that though.