Both lists sit on Risk Management, beside the risk register. A non-conformity is raised when a requirement is not met. An improvement opportunity is raised when you want a change that is not itself a non-conformity.
A non-conformity
The record has an overview, the NC details, corrective actions, related links, evidence, notes, and activity. Source and status come from the lists in configuration. Related links are how the non-conformity points at the control, audit, or other record it came from.
An improvement opportunity
The record has an overview, details, related links, notes, and activity. Use it for an improvement you intend to make. Do not use it as a softer non-conformity: if the requirement was not met, raise a non-conformity.