Closed Loop Vs Custom Loop

Generally it's the pump or the size of the rad that gives that performance difference between Closed and Custom loops.

With AIOs, the pump is built right into the block, and 'said block is usually fairly small. When you compare it to a 'proper' custom pump, it's a damn sight bigger. This means that the liquid can fly through the loop at greater speeds, warmer water is carried away quicker and subsequently colder water returned more quickly.

There's also compromises made in other areas too. When you consider that a half-decent custom CPU block is pretty much all copper, compared to the thin sheet of it most often in use on an AIO. The area for the coolant in the block is also greater when you consider that those with the pump built in have to reserve space for the PCB etc...

I wouldn't say there's much difference in the liquid itself, or in the tubing. Most modern AIOs have quite thick rubber tubing that honestly, if it was available, I'd choose over the standard acrylic for a custom loop any day.
Aside from advantages in colour and/or anti-microbe capabilities I wouldn't say there's much temperature difference between the liquids. AIOs pretty much all use what is essentially anti-freeze, for the sake of longevity claims, while custom loops can be anything from basic distilled water, to coolants designed with colour or anti-fungi in mind.
I'm sure there's a minimal difference between them, but not enough for the extreme temperature difference compared between both types of method.

Finally, not forgetting of course, the radiator/s. Probably the things that cause the most difference. Custom loops will often have much thicker rads, with lower fin-density, more of them - or just generally bigger.
They may also be made out of higher quality metals.

It's not often that you see a dual-thick radiator on the market, although they do obviously exist. Some custom radiators go even thicker than that.
At the end of the day the more surface area you throw at something the better it's going to dissipate heat, this applies to both air and liquid cooling.
Custom loops just offer far more in the way of longer, thicker radiators. To my knowledge there's only one 360mm AIO and that comes from Fractal (and I don't even think that's out yet).

Basically, the faster pump helps a lot, as does the larger radiators.
AIOs are a perfectly logical option when you consider how expensive a full-on custom loop can be, I personally prefer them over large air cooling towers just down to their ability to be mounted in areas with no obstruction. Plus, they look dope.
Being on par with a giant lump of metal isn't exactly a bad thing.