The quick answer is that a "Critical Patch Update" (or CPU, the first in these pairs) is a quarterly update, and a "Patch Set Update" (or PSU) is a situational update that tries to fix issues found in its CPU predecessor, released before the next CPU is officially marked golden.
Here's a post that describes what's up a bit:
CPU, PSU, SPU - Oracle Critical Patch Update Terminology Update.
Critical Patch Update (CPU) now refers to the overall release of security fixes each quarter rather than the cumulative database security patch for the quarter. Think of the CPU as the overarching quarterly release and not as a single patch.
You should be confused
Oracle really isn't doing a great job making the difference, theoretical or practical, between CPU & PSU clear.
For example, on the release notes for 8u111 and 8u112, I could find any reason not to use the latest PSU, currently 8u112. But neither did the release notes by themselves give me a great reason why I would use the PSU!
There was a "Changes" section for 112 that included "security-libs/java.security-- SunPKCS11 Provider no longer offering SecureRandom by default", but no mention of other serious issues.
But if you google around around enough, you do find serious issues, like...
JVM throws NullPointerExceptions on macOS Sierra 10.12
On macOS Sierra 10.12, if a user presses modifier keys (such as Command, Alt, Shift) while an applet is running in a browser, an error box named “Internal Error” might be displayed. It will also show the “exec” icon in the macOS dock. The user can dismiss the applet, or try to rerun the applet while not pressing a modifier key. To fix this problem, install JRE 8u112, for Mac OS X. [emphasis mine]
I mean, technically, that issue is on the bug page, which itself is a link or two removed from the release notes, down at #42, [macos] JVM continuously throw a NullPointerException on new MacOS 10.12, but finding that isn't user friendly. It's going to take some work to see if it's mission critical for you to use a PSU.
TL;DR
Best guess is that CPUs are well QA'd and Oracle can't be as confident with PSUs, as they're basically in-progress previews of the upcoming, as-yet-unreleased, quarterly CPU.
But since they can tell everyone who uses macOS Sierra to use a PSU, for example, a PSU is probably good enough for development, and does a decent job anticipating the next CPU. You wouldn't necessarily deploy it to a production server unless one of the PSU fixes wasn't mission critical for you, but you probably could, depending on how comfortable your organization was with edge releases.
But Oracle should say all this somewhere a little more clearly, or we're stuck with this question.
I excerpted the blog entry, because that is likely to go stale in the medium to long term. I left the "difference between CPU and PSU releases" link in-place because that seems to be part of Oracle's CMS and so basically a permalink. – Derek Bennett – 2016-05-11T19:51:39.827