The README at Ensembl states that
In the case of human and mouse, the GTF files found here are equivalent to the GENCODE gene set.
What is the difference between GENCODE GTF and Ensembl GTF?
The gene annotation is the same in both files. The only exception is that the genes which are common to the human chromosome X and Y PAR regions can be found twice in the GENCODE GTF, while they are shown only for chromosome X in the Ensembl file.
In addition, the GENCODE GTF contains a number of attributes not present in the Ensembl GTF, including annotation remarks, APPRIS tags and other tags highlighting transcripts experimentally validated by the GENCODE project or 3-way-consensus pseudogenes (predicted by Havana, Yale and UCSC). See our complete list of tags for more information.
Please note that the Ensembl GTF covers the annotation in all sequence regions whereas GENCODE produces a similar file but also a GTF file with the annotation on the reference chromosomes only.
Which are the reference chromosomes?
The reference chromosomes are those in the primary genome assemblies, ie. chromosomes 1 to 22, X and Y in human; chromosomes 1 to 19, X and Y in mouse. The mitochondrial chromosome is also considered as part of the reference chromosomes. Some GENCODE files contain annotation on reference chromosomes only, thus excluding other sequence regions as unlocalized and unplaced scaffolds, assembly patches and alternate loci (haplotypes).
Did Gencode help-desk explain why you should use specific files rather than the Ensembl ones? Or maybe they’re not excluding Ensembl files.