Sensor Connection: DIN 43650 vs M12
... the DIN connector is also capable of sealing from water. 


The compressible cable gland waterproofs the cable entry. The square gasket waterproofs the electrical terminals.


  It also seems to me that M12 is more secure due to screw connection. How does the DIN connector keeps itself secure?


The long screw visible in your photo goes through a central hole in the rear of the shell and into the threaded insert in the transducer. It's good.


  For my application, does it matter which one I choose?


Probably not. The DIN is less fiddly to wire up. You might consider calibration and what type of leads you or your calibration contractor have to hand but either is easily fabricated. 


  Are there any effects to the electrical signal between the sensor and my PLC when choosing one connector to another? I'm using current to sense the pressure.


No.


  What other connection options are commonly used among electrical engineers for connecting small sensors and actuators?


The M8 version of the circular connector is most common. Your two and the M8 are the most popular.