Here, we shall only discuss general relativistic diffeomorphism-invariant matter theories in a curved spacetime in the classical limit $\hbar\to 0$ for simplicity. In particular, we will not discuss the SEM pseudotensor for the gravitational field, but only the stress-energy-momentum (SEM) tensor for matter ($m$) fields $\Phi^A$. We emphasize that our conclusions will be independent of whether the EFE are satisfied or not.
I) On one hand, the basic Hilbert/metric SEM tensor-density$^1$ is manifestly symmetric$^2$
$$\tag{1} \sqrt{|g|}T^{\mu\nu}~\equiv~{\cal T}^{\mu\nu}~:=~-2\frac{\delta S_m}{\delta g_{\mu\nu}},$$
cf. a comment by Lubos Motl. However, note that the basic definition $(1)$ is not applicable to e.g. fermionic matter in a curved spacetime, cf. Section II.
Diffeomorphism invariance leads (via Noether's 2nd theorem) to an off-shell identity. Using the matter eqs. of motion (eom)
$$\frac{\delta S_m}{\delta \Phi^A}~\stackrel{m}{\approx}~0, \tag{2} $$
the corresponding Noether's 2nd identity reads$^3$
$$\nabla_{\mu} T^{\mu\nu}~\stackrel{m}{\approx}~0, \tag{3}$$
cf. e.g. Ref. 1. [Here the $\stackrel{m}{\approx}$ symbol means equality modulo matter eoms. The connection $\nabla$ is the Levi-Civita connection.] Eq. $(3)$ serves as an important consistency check. A matter source $T^{\mu\nu}$ to the EFEs should satisfy eq. $(3)$, cf. the (differential) Bianchi identity.
II) In the Cartan formalism, the fundamental gravitational field is not the metric tensor $g_{\mu\nu}$ but instead a vielbein $e^a{}_{\mu}$. The generalized Hilbert SEM tensor-density is defined as
$${\cal T}^{\mu}{}_{\nu}~:=~{\cal T}^{\mu}{}_a~e^a{}_{\nu}, \qquad
{\cal T}^{\mu}{}_a ~:=~- \frac{\delta S_m}{\delta e^a{}_{\mu}}, \tag{4}$$
which is no longer manifestly symmetric, cf. e.g. Ref. 2.
Next, we have two symmetries: local Lorentz symmetry and diffeomorphism invariance.
Firstly, local Lorentz symmetry leads (via Noether's 2nd theorem) to an off-shell identity. Using the matter eoms $(2)$, the corresponding Noether's 2nd identity reads
$${\cal T}^{\mu\nu}~\stackrel{m}{\approx}~{\cal T}^{\nu\mu},\tag{5} $$
i.e. the generalized Hilbert SEM tensor-density $(4)$ is still symmetric when the matter eoms are satisfied.
Secondly, diffeomorphism invariance leads (via Noether's 2nd theorem) to an off-shell identity$^4$
$$d_{\mu}{\cal T}^{\mu}{}_{\nu}
~=~{\cal T}^{\mu}{}_a ~d_{\nu}e^a{}_{\mu}
-\frac{\delta S_m}{\delta \Phi^A}~d_{\nu}\Phi^A. \tag{6} $$
Not surprisingly, eqs. $(5)$, $(6)$, and $(\nabla_{\nu} e)^a{}_{\mu}=0$ imply eq. $(3)$.
III) On the other hand, the canonical SEM tensor-density
$$\Theta^{\mu}{}_{\nu}
~:=~\frac{\partial {\cal L}_m}{\partial\Phi^A_{,\mu}}\Phi^A_{,\nu} -\delta^{\mu}_{\nu}{\cal L}_m \tag{7} $$
is not always symmetric, cf. e.g. this Phys.SE post. The fact that the Lagrangian density ${\cal L}_m$ has no explicit spacetime dependence leads (via Noether's 1st theorem) to an off-shell identity
$$d_{\mu}\Theta^{\mu}{}_{\nu}
~=~-\frac{\delta S_m}{\delta e^a{}_{\mu}}~d_{\nu}e^a{}_{\mu}
-\frac{\delta S_m}{\delta \Phi^A}~d_{\nu}\Phi^A. \tag{8}$$
Recall that the gravitational field, the vielbein $e^a{}_{\mu}$, is not necessarily on-shell. Remember, we are doing FT in curved spacetime rather than GR. As a consequence, the first term on the right-hand side of Noether's 1st identity $(8)$ breaks the usual interpretation of Noether's 1st theorem as leading to an on-shell conservation law. [It is comforting to see that it gets restored for a constant vielbein with $d_{\nu}e^a{}_{\mu}=0$.]
IV) Eqs. $(4)$, $(6)$, and $(8)$ imply that
$$d_{\mu}({\cal T}^{\mu}{}_{\nu}-\Theta^{\mu}{}_{\nu})~=~0.\tag{9}$$
One may show that there, in general, exists a Belinfante improvement tensor-density
$${\cal B}^{\lambda\mu}{}_{\nu}~=~-{\cal B}^{\mu\lambda}{}_{\nu},\tag{10}$$
such that
$${\cal T}^{\mu}{}_{\nu}-\Theta^{\mu}{}_{\nu}
~=~d_{\lambda}{\cal B}^{\lambda\mu}{}_{\nu},\tag{11}$$
cf. e.g. my Phys.SE answer here. Note that eqs. $(10)$ and $(11)$ are consistent with eq. $(9)$.
V) Eq. $(11)$ serves as an important consistency check of the Hilbert SEM tensor-density $(4)$ vs. the canonical SEM tensor-density $(7)$. Eq. $(11)$ implies that the two corresponding Noether charges, the energy-momentum $4$-covectors
$$P_{\nu} ~:=~ \int\! d^3x~{\cal T}^0{}_{\nu} \quad\text{and}\quad \Pi_{\nu} ~:=~ \int\! d^3x~\Theta^0{}_{\nu} \tag{12} $$
are equal up to spatial boundary terms
$$P_{\nu}-\Pi_{\nu}~=~\int\! d^3x~d_i{\cal B}^{i0}{}_{\nu}~\sim~0,\tag{13}$$
cf. the divergence theorem.
References:
R.M. Wald, GR; Appendix E.1.
D.Z. Freedman & A. Van Proeyen, SUGRA, 2012; p. 181.
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$^1$ A tensor-density ${\cal T}^{\mu\nu}= e T^{\mu\nu}$ is in this context just a tensor $T^{\mu\nu}$ multiplied with the density $e=\sqrt{|g|}$.
$^2$ Conventions: In this answer, we will use $(+,-,-,-)$ Minkowski sign convention. Greek indices $\mu,\nu,\lambda, \ldots,$ are so-called curved indices, while Roman indices $a,b,c, \ldots,$ are so-called flat indices.
$^3$ Note that eq. $(3)$ is not a conservation law by itself. To get a conservation law, we need a Killing vector field, cf. e.g. my Phys.SE answer here.
$^4$ Here, we have assumed that the matter fields $\Phi^A$ only carry flat or spinorial indices, cf. the setting of my Phys.SE answer here. If $\Phi^A$ also have curved indices, there will be further terms in eq. $(6)$ proportional to the matter eoms.