Please explain JPEG, RAW, RAW+JPEG difference??

I basically understand the different image file for photography...basically JPEG is image that's processed by the camera. RAW is the unprocessed image. RAW+JPEG is the combination of the two.

Is there a difference between in the file from RAW taken directly compared to the RAW taken using RAW+JPEG?

Someone mentioned to me that the RAW taken using RAW+JPEG is different from straight RAW since there's a "embedded JPEG in the RAW" when using RAW+JPEG and not as sharp as straight RAW file. Is the true? Can someone PLEASE explain? Is there a difference actual RAW file and RAW taken in RAW+JPEG?

I'm anxiously awaiting for my EM5 with 45/1.8, 14-54/2.8-3.3.5 with MMF-3 adapter so I could start playing