Simple answer is the degree of "cut" you want. Belt sanders are for heavy duty sanding, they are usually very heavy and cut material aggresively. They can round off board edges in no time and would not be used for any finish work. Orbital sanders run in small circles and can be used for moderate to fine sanding depending on the grit of paper on mostly flat surfaces. They are not expected to leave sanding marks if used carefully. Finishing sanders are similar to orbital and often can be sanding in a straight line to minimize sanding marks. They are used with a lighter touch.
By comparison to saws, a belt sander is like a chain saw, a finishing sander like a hand mitrebox saw.