Suppose Alice prepares $\rho_x$ with probabilities $p_x$ and sends it to Bob. I would say this is the same thing as "Alice prepares $\rho = \sum_x p_x \rho_x$ and sends it to Bob", but Preskill's lecture and Nielsen & Chuang seems to disagree.
I will be more precise.
If I want to compress the n-fold tensor product of $\rho$ I can do it down to $n \ S(\rho)$ qubits ($S$ is the Von Neumann entropy), this is the Schumacher theorem as stated in Nielsen & Chuang, page 544.
If I want to compress the ensemble $\epsilon = \{p_x,\rho_x\}$ Schumacher-like, I can do it down to $n \ \chi(\epsilon)$ qubits, as stated in http://www.theory.caltech.edu/people/preskill/ph229/notes/chap5.pdf, page 31. (Maybe if Preskill gave a definition for "ensemble fidelity" the issue would be easier to tackle...)
Note that $n \ \chi(\epsilon)$ is ensemble-dependent and in general different from the Von-Neumann entropy. But this seems to suggest that different ways of looking at a density matrix allows different ways of encoding it: If I think I am sending a $\rho_x$ with probabilities $p_x$ I must use the $\chi$ and hence a certain number of qubits, if I send $\rho = \sum_x p_x \rho_x$ I must use the entropy, and hence another number of qubits...
This bother me because I was intimately convinced that the ensemble description is not physical: Classical and quantum probabilities in density matrices,