Wall Heat Flux is only defined on Wall Boundaries and on the fluid side of Fluid-Solid Interfaces. You should use this variable when calculating heat flux through Wall boundaries. If you perform the following calculation in CFX-Post:
areaInt(Wall Heat Flux)@MyWallBoundary, using a Direction of None
you will find that this matches the values printed near the end of the .out file under "Boundary Flow and Total Source Term Summary" for Energy. This is the best and the most accurate method, since Wall Heat Flux comes directly from the Solver.
Heat Flux is calculated by CFX-Post, it is not output from the Solver. You can use this variable to calculate heat flow on other boundaries and 2D regions (inlets and outlets for example).
On a wall boundary, you should get the same value for Wall Heat Flux and Heat Flux. There may be small differences since Wall Heat Flux is stored on vertices and Heat Flux is stored on the integration points.
In general, you should use Wall Heat Flux for calculations on Wall boundaries and Heat Flux on other boundaries.