Not really. But some people may find "czemu" a bit more colloquial, also some people (Hi mom!) tend to think that it is 'worse' because it's a Russicism. (cf. Russian почему)

I don't know Russian, but in Polish you can use Dlaczego as both
as a result of what cause= Z jakiego powodu? for what purpose= W jakim celu ?, po co? na co?

Po co? (or more colloquial na co?) are common in spoken language

Dlaczego is neither a (pro-)noun, nor an adjective, nor a numeral, so it's indeclinable.