I'm not really sure about the exact differences when running PHP in CGI mode (instead of doing that in MODULE mode) but it seems to have some problems:
- Some configurations simply won't take effect (memory_limit, execution_time...).Your host provider should configure them (and scheduled backup is really resource-intensive!).
- You cannot use path-arguments so you won't be able to use relative links in Moodle.
- It's supposed to be a bit less efficient.
- ...
You can find more info in:
http://uk2.php.net/security.cgi-bin
http://moodle.org/mod/forum/discuss.php?d=10819
https://panel.dreamhost.com/kbase/index.cgi?area=2933
Ciao