IMO, you are asking a good question, as there is a real difference between utility tractors and excavation equipment. I learned this in the military, but the market has changed a lot since then so here's my current real-world experience.
I own a JD 110TLB. This is a small backhoe intended for contractors, ranchers/farmers, etc. But don't let size fool you - it's a very stout example of a backhoe. The frame is more robust. The loader arms are massive with gussets and fishplates that aren't seen on utility loaders. The drivetrain is strictly hydraulic and very sturdy, again bigger in size and volume than other hydraulic systems. The hoe is simply a smaller version of that found on full-size backhoes, and it's just as robust as the loader.
I owned this and a very comparable JD 5300 w/loader at the same time. HP for the 5300 was higher but weight was similar. There was simply no comparison between what the two loaders would do when it came time to dig. I now own a considerably larger [AFFILIATE=1, nofollow=true, newwindow=true, title="Kubota"]Kubota[/AFFILIATE] M8560 w/loader, and even it can't match the 110TLB. I'll note that all the buckets interchange, so it's not a matter of bucket design.
You can spend a lot of money on attachments and features for your utility tractor to help it dig, but they'll mostly be band-aids and will likely disappoint.
If you're serious about digging, rent a backhoe for one of your more challenging jobs and feel the difference. Do this before you spend a lot of money upfitting your utility tractor.