I think.... there are no differences betwen two sentences, just there is having a nuance. “하지마요” is just a little bit more storong than "하지말아요”. But there is no big differene. You can use these without concern.

Thank you!!

어디 가세요? 어디 갑니까? 어디 가십니까? Yup, you're right, for these the only difference is greater formality going down ~ the last being the most formal / honorary, but they are all considered formal