control

Runs a statement that manages the connection or its transaction itself: COMMIT, ROLLBACK, a savepoint being rolled back to or released, a session setting, the validation probe.

The one difference from execute is that no waiting BEGIN goes out first. Each of these either ends the transaction, only makes sense inside one already running, or is about the session rather than any transaction - so opening one for it would be at best a wasted round trip, and for a session setting would take the setting out of the transaction it was meant to reach.