not fluent, but from my understanding, "kwa nini" is more likely asking a "why" question with an intent to gather facts, whereas "mbona" conveys surprise or maybe astonishment.
you see a guy running in athletic clothes at a gym and you want to know why (maybe what he is training for) - unakimbia kwa nini?
you see a man in a 3 piece suit running alongside a road in the middle of the night - mbona unakimbia?!?
anyone who might know better, please feel free to correct or add.