To me, (1) '으로' sounds like the direction you are going, while '에' sounds like your destination. (2) '대만으로 가요' sounds like migration, whereas '대만에 가요' sounds like a casual decision. (3) '대만으로 가요' sounds like a longer journey than '대만에 가요'. But you will hardly be misunderstood if you exchanged the two phrases.