There is no significant difference, just like in English (switch on/ turn on). Why one or the other may be preferred entirely depends on what you are switching/ turning on. We can turn on the light or switch on the light, but somehow I'd prefer switch on, maybe because I have to flick a switch. And maybe I prefer saying "turn on the radio" rather than "switch on the radio". The same applies to the German words "anschalten" and "einschalten". So going back to the example of switching/ turning on the light/ radio, I would say "Ich schalte das Radio an." while I would prefer saying "Ich schalte das Licht ein.". However, "Ich schalte das Radio ein." and "Ich schalte das Licht an." are not grammatically incorrect. It is just a personal preference and depends on what you switch/ turn on.