Why do cold formed sections buckle differently from hot finished?

Manufacturing methods for structural steel shapes result in stresses that remain in the material after the section has been formed. Those residual stresses have an impact on the buckling curve and are a major reason the design curves are distinct from the theoretical Euler buckling curve.

In hot-rolled sections and welded sections, the residual stresses are principally due to uneven cooling. For example: in a hot-rolled wide flange beam, the flanges, being thicker than the web, cool more slowly. But the flange tips also cool more quickly than the flange where it joins to the web because the tips have more surface exposed to air. The result is residual compressive and tension stresses in the section, and this means that when the member is subjected to a compressive load, the fibers in the section are not all under the same stress. This gives rise to the inelastic buckling portion of the buckling curve. This is being accounted for in the rolled sections listed in the table you included, but all those sections will be hot-rolled so there's no need to distinguish between manufacturing methods.

The figure below (obtained here) shows the typical arrangement of residual stresses in sections fabricated by various methods.

The cold forming process by which HSS are produced also introduces residual stresses, particularly at the corners. The Steel Tube Institute has a nice overview of this. If the piece is subsequently hot finished, this will relieve some of these residual stresses and the buckling curve will be changed. I don't possess a copy of Eurocode 3, but my expectation is that buckling curve "a" for the hot finished sections will lie closer to the theoretical elastic buckling curve than curve "c" for the cold formed sections.