Perfumes have quite a bit of alcohol which can really dry your hair (yes they do dry your skin but, it is a very quickly growing organ constantly making new cells, thus the damage is not as intense). But, think about your hair, which is composed of dead cells. To really take out the dry parts, you would have to cut off the dry parts and wait for it to grow. Thus, the hair mist does not have as much alcohol. But, it also does not last as long as the Perfume.
I've read that since normal perfume uses alcohol, it can really dry out your hair. I haven't looked at the ingredients list for the hair mist, but I'm assuming it's formulated without the harsher, drying ingredients. It doesn't seem to be drying out my hair so...I guess it works? :)