Could some one explain the differences & the pros and cons?

I can't cover the differences, there are just a couple.
A little more work goes into the magnums, and a few of the parts used are of better quality materials.
Basically, a few short cuts are taken on the express line to keep costs low, and a bit more effort goes into building the other.
Check out this thread, www.ar15.com/forums/topic.html?b=6&f=1&t=176680

I think the Express uses a less expensive type of wood for the stock, and there is less checkering on the stock. I think the regular 870 Wingmaster has a walnut stock and more checkering.
Check out
Remington 870

The major differences are:

The Express Home Defense has:
Some internal parts including the extractor are MIM (Metal Injection Molded) parts.
Synthetic stock, with long "sporting length" hand guard.
Black finish.
Rougher finish inside and out.
Rougher finish inside bore.
Cylinder choke.
Bead sight.
Lockable safety button. NOTE: This apparently is being discontinued by Remington.
"Dimples" in the magazine tube that prevent attaching a mag extension unless it's modified.
New style magazine retention assembly.
Plastic trigger guard.

The Express Sporting model has:
Some internal parts including the extractor are MIM (Metal Injection Molded) parts
Hardwood stock with shiny finish or synthetic stock.
Black finish.
Rougher finish inside and out.
Rougher finish inside the bore.
Screw-in chokes.
"Dimples" in the magazine tube.
New style magazine retention system.
Plastic trigger guard.

The Police has:
All milled parts.
Walnut or synthetic stock, with short police length hand guard.
Wide choice of types of stocks. (Speedfeed, etc).
High quality parkerized finish.
Smoother, better finish inside and out.
Smoother finish inside bore.
Improved Cylinder choke.
Wide choice of different sights. (Bead, Rifle, Ghost ring, Luminous, etc).
No lockable safety button.
No "dimples inside the mag tube. All extensions screw on.
Guns are available with mag extension as factory item.
Old style magazine retention assembly.
Aluminum trigger guard.
Heavy duty magazine spring.
Heavy duty trigger/sear spring.
All around better fit and finish.

The Wingmaster Sporting gun has:
All milled parts.
Nicely finished Walnut stock.
Polished blue finish.
Smooth finish inside and out.
Very smooth finish inside the bore.
Screw-in chokes.
Old style magazine retention system.
Aluminum trigger guard.

All guns are made from the same forged and milled steel frames, and have the same general action parts.  All guns will last about as long, which is forever or about 250,000 rounds, whichever comes first.

Any differences between the Remington 870 Police Magnum and the Remington 870 Magnum? Any differences in quality or parts used?

Out

When you ask about the Remington Magnum, WHICH Remington Magnum, the budget Express or the high quality Wingmaster?  ALL Remington's are Magnum models now.

Which Express, the Sporting model, or the Home Defense Model?

Re-read the above post where I list each version's features.

Basically, the cheaper Express models have a rougher finish, inside and out, rough black finishes, plastic parts, hardwood or synthetic stocks, can't accept a magazine extension UNLESS the mag tube is altered, and use some MIM parts.

The more expensive Wingmaster and Police models have much smoother finishes inside and out, have polished blue or military grade parkerized finishes, walnut or synthetic stocks, WILL take magazine extensions without alterations, and use NO MIM parts.

The Express models are "Budget" versions, made cheaper to compete with the cheaper to make Winchester and Mossberg guns.

The Wingmaster and Police are Top of the Line deluxe models.

As for durability, reliability, strength, and longevity, the Express models are about as good as the more expensive Wingmaster/Police guns.

The Express "possibly" COULD give some initial problems until broken in, and over the years and the rounds fired, the MIM extractor MIGHT give problems.
This is to be expected with a budget gun.

It just says Remington 870 Magnum on it. I do not know anthing more about it. I have been told that it is NOT an Express model. All I have to go on. It is a police trade in, but it is not marked Police.

The older Police guns weren't marked with the "Police" stamp.
This will be a high-grade Remington 870 with all the top-of-the-line features.

There will be no MIM or plastic parts.
The stock will be either the hardwood used on the older Police guns or walnut as used on more current guns.

The finish will be either a corrosion resistant smooth black finish, or a military grade parkerized finish.
It will accept all accessories like magazine extenders or side saddles.

Most used Police guns have worn finishes and battered stocks from MUCH handling, but since they were rarely fired, they're in great mechanical shape.

These are some of the best deals going on shotguns.

This 870 Magnum is blued with an extended magazine tube. It does have police wood on it.