Currently, research on the small-signal stability of grid-forming converters under two control modes, grid-following and grid-forming, mainly focuses on low-level converters. However, studies on the differences between grid-following modular multilevel converters (MMC) and grid-forming MMC are limited. A comprehensive analysis of the wideband oscillation risk differences in MMC-HVDC systems under these two control modes from the perspective of impedance characteristics is necessary. Therefore, based on the harmonic state-space (HSS) modeling theory, this article establishes wideband sequence impedance models for grid-forming and grid-following MMC. Subsequently, this article identifies key control parameters affecting the impedance characteristics of MMC under two control modes. The wideband oscillation risks of MMC-HVDC systems under both control modes are compared. The study indicates that when the grid strength weakens, grid-following MMC faces instability risks, while grid-forming MMC can maintain stability. In instances where high-frequency resonance peaks exist in the impedance of the grid, both control modes of MMC may face instability risks. Furthermore, by adjusting the obtained key control parameters of MMC, this article effectively suppresses the oscillation risk discussed above. Finally, the analysis results are verified through an electromagnetic transient simulation.