For me, those two versions are exactly the same, put apart the wording of the second one is rather cumbersome...
So you can use :
 - dire + avoir/être + participe passé + complément (COD, CC de lieux, de temps,...)
 - dire + pronom + avoir/être + participe passé (if the complement has already be defined in the sentence)
 - dire + QUE + avoir/être CONJUGUÉS + participe passé
 - dire + QUE + pronom + avoir/être CONJUGUÉS + participe passé (if the complement has already be defined in the sentence).

I hope I have not forgotten any case !