Generally speaking, there is very little that the two main characters of these short stories have in common. In many ways, Paul from "The Rockinghorse Winner" could almost be considered a hero in the way that he is concerned for his family's well being and sacrifices himself to help. Donny, on the other hand, seems to do nothing sacrificial at all and generally appears to act out of self-interest alone.
The one quality, however, that these two protagonists have in common, is that they are misunderstood by the adults in their lives and probably under-appreciated. Donny's disconnection to his parents and other adults drives him away, and ultimately leads him into rebellion, anger, and giving up. Paul, on the other hand, tries to grow closer to his mother, and his unlikely role as a secret "providor" drives him mad and eventually to his death. Both protagonists suffer a tragic ending for the lack of a personal connection they have with their parents. The difference is that Paul clearly cares, but Donny, we assume, does not.