component parameter sweep - This lets you change parameters of one or more components, such as the width of a transistor or the DC voltage of a voltage source. This changes any parameter that you can edit for a single component.
model parameter sweep - This changes something in your component models, such as your transistor model. For instance, you could change your nMOS transistor oxide thickness. All components that use that model (for instance all nMOS's) will change together.
I am not sure how you would use either in simulating THD. I assume that for THD you start with a transient simulation and compute the Fourier transform of the output, but am not sure beyond that.