Scholarship effects on later applications
Your situation describes a situation that is relatively common here in Germany, with the choice between "fellowships" at Gradiuerterkollegen and traditional degree programs within faculties and departments. If this is in fact your case, I don't think I would make too much of a difference between the statuses—they are both graduate degree programs, and would effectively carry the same weight. It's largely viewed (correctly) as just different means of internally financing graduate studies. Thus, it would not really make a big difference on your later career.

What can make a difference, however, are the duties assigned to the different programs. Scholarship students may have a substantially reduced set of responsibilities, particularly with respect to teaching and other non-research activities. This may mean that you finish your degree program more quickly and efficiently than someone who has to do substantial teaching as part of the standard graduate program.