Ko  

Black is indeed not allowed to play the marked point, so black must play elsewhere. But in playing elsewhere, black can play a ko-threat to which white will have to respond, and after that black can play the point, taking back white's stone. And after taking back, black is threatening to capture the stone. If black succeeds in capturing that one, he will connect his corner group with the stone and the group will live.

So the result is a ko fight.

Now compare the situation after capturing two stones:

Ko  

In this situation, black can indeed immediately capture back one white stone by playing . But that move is pointless, because the corner (the stones) is dead, and will remain dead. Capturing back gives black no option of connecting out. So this way, black is simply dead, whereas the other way white runs the risk of losing the ko fight.

Now you may argue that losing the ko fight need not happen. No matter what black does, white can connect and finish the fight. But doing that will allow black to play two moves in a row elsewhere, potentially making a large profit. In the second diagram, black does not get two moves elsewhere...