SQL Server 2016 - Is the Microsoft R Client any different from a standalone Microsoft R Server?
Looks like I found an answer to my own question on digging further.

While Microsoft R standalone Server addresses the in-memory limitations of open source R by adding parallel and chunked processing of data, Microsoft R Client is in-memory bound; i.e. it can only process datasets that fit into the available local memory. However, it can operate on large volumes of data if the compute context is set to an instance of Microsoft R Server like the SQL Server R Services or R Server for Hadoop etc.

Microsoft R Client has almost all of the architectural features as a MS R Server - DistributedR, ScaleR (RevoScaleR package), ConnectR. DeployR is unavailable in the MS R Client.

Microsoft R Client also has the Math Kernel Library for the non-scaleR functions, and can use up to 2 threads for ScaleR functions in a local compute context.

One advantage that the MS R Client has on the MS R Server is that it is free for everyone. MS R Server (standalone) requires a commercial license.

More details here: The Microsoft R: A Product Comparison