Yeah, the one on the left is a Regex type that can have all the usual regular expression escape sequences. \s on the right wouldn’t make sense because it means whitespace in general, not a specific character (for eg. Tab also matches \s). So if it appears in the SubstitutionString, it’s ambiguous which character you actually want there (space or tab).
The only escape sequences in the substitution string that make sense and are interpreted, are numbered ones like \1, \2, etc. (and the corresponding named \g<name> captures) that are used to refer to parts of the regex that have been captured on the left.