I also use Splenda, mostly for cooking. I use it in baking because the sugar (or substitute) is needed for texture as well as flavor.
Splenda, if I remember correctly, is sugar that is chemically altered so it is still sweet, but is not digested. Stevia is a herb, not a sugar.
Not sure about the digested part, but yes it's chemically altered replacing the various OH bonds with Cl. The chemical map looks almost the same as sugar (same bonds, just different atoms), unlike other artificial sweeteners which look completely different.