What's the difference?
In the simplest terms, "digital" refers to the format of the signal while "satellite" refers to the method of broadcast. In other words, they are not mutually exclusive, so we have satellite radio which is both analog and digital, just as we have terrestrial (non-satellite) radio which is analog or digital.
That out of the way, although analog radio is still available by satellite, the average person in the U.K. is likely using digital. Some U.S. satellite receivers will receive the broadcasts, but there are different formats, so it depends upon the model.
We also have a (relatively new and still expanding) digital terrestrial broadcast network, commonly known as DAB (Digital Audio Broadcasting). This is completely different from U.S. standards, but receivers are available in the stores now from around £50 or so.
Do I need a digital radio to listen to the radio stations that are on the TV,
If you mean a separate radio in addition to your digital satellite receiver or your DTT (Freeview "Digibox") receiver, then the answer is no. Once the receiver (of either type) has been tuned in to the relevant satellite or local transmitters, all you have to do is select the channel you want just like when changing TV channels.
are there more stations than what's on the TV or is that it?
Digital satellite and DAB (terrestrial) both have far more stations than are available on the Freeview system.
Will listening to the radio on the TV (if that is the only place to access them until I get a digital radio) damage my screen?
Theoretically, if you left that same caption on the screen for hours on end it could result in "burn in" of the image on the screen, although modern tubes are fairly resistant.
Two options:
1. Once you've set the station, turn the brightness on the TV right down.
2. Use a suitable SCART/RCA lead to connect the audio output from the satellite receiver or Freeview box directly into your hi-fi system. Then you can switch off the TV completely.
A couple of DAB links for you:
http://www.radioandtelly.co.uk/dab.htmlhttp://www.getdabdigitalradio.com/