Yes, you will need to remove the Ezoic name servers from your registrar if you want to have the host name servers instead. In this case, your site will no longer be cloud integrated which will then mean you need to use the Ezoic WordPress plugin to integrate with us.
For differences between being WordPress integrated and cloud integrated is that WordPress integration lacks extra benefits and features (which are free) only found with cloud integration. Some examples of these are having access to the Big Data Analytics, the Mediation app to link up your existing ad networks to Ezoic, the ability to use the Ezoic Chrome extension, and of course access to our CDN which help improve speed and access for visitors to your site. More details of cloud benefits can be found here.
To make sure you are integrated correctly with the WordPress plugin, you can follow this guide on how to do so.
And lastly, If you want to you can start off with WordPress integration and then upgrade to could integration at a later time if you wish. There is a handy guide specifically for switching from WordPress integration to cloud integration that you can reference here.