I am really not sure but I think "Kwa nini" is more casual while "Mbona" is more like "Why the f***"
'kwa nini' is 'why', which is neutral while 'mbona' is 'how come', which conveys surprise.
Why is the question word here at the beginning of the sentence? In the prior examples it was always at the end.
Kwa nini and mbona are generally at the beginning. Nani and nini go wherever their answer would be (before the verb if subject, after the verb if object) and lini and vipi generally go straight after the verb. Other words like -ngapi, -pi and gani go after the noun they're asking about.