Coolness went to MJ. Those moves. The clothes. Everyone wanted to move, look, and act like him. Even through his various personas and issues you still thought of him as being cooler / more interesting than anyone else.
Sexiness went to Prince. He had his own unique style. It was dangerous. Exotic. Provocative. He had a slew of gorgeous women in his stable. And he could shred on crazy looking guitars. You didn't want to be Prince so much as you wanted to be in his world.
That's the difference between the two to me. They're both equally brilliant for what they set out to do.
This is a good way to put it. I guess it depends on your personal definition of "coolness," though.