plugin development – Why wp_die() doesn’t work with wp_redirect but exit() works

I have a question related to the behaviour of WordPress.
I coded a function which on-call redirects the user to a page inside WordPress. I used it with add_query_arg().
Here is the function I created.

function wg_uep_license_fail_redirect( $message ) {
        update_option( 'wg_uep_license_status', 'invalid' );

        if ( ! empty( $message ) ) {
            $redirectUrl = admin_url( 'admin.php?page=wp_uep');
            $finalizedUrl = add_query_arg( array(
                'license_activation'    => 'false',
                'message'               => urlencode( $message ),
            ), $redirectUrl );
            wp_redirect( $finalizedUrl );
            // wp_die();

As you can see the function has a message parameter. Now if I call the function like this.

$message = 'hello dead';
wg_uep_license_fail_redirect( $message );

Everything works fine if I use exit but if I uncomment wp_die() and remove the exit. Nothing seems to work.

Now my question is simple what is the difference. How WordPress handles the wp_die or exit?

NOTE: die() also works but not wp_die().