like someone else told there is an intrest rate spread, but it's even worse, there is two times this spread, once for the intrest rate on the currency where you receive intrest and once for the intrest rate on the currency where you pay the intrest. A lot of firms (read: all) really make big money on this without the customers realising this. In futures this will be somewhere around the midpoint, so both both buyers and sellers of the futures get the same deal, otherwise they get arbed.
There is an alternative product to these choices. It's the hybrid FX contracts on USFE. USFE is the old Eurex US exchange. They have FX contracts that price exactly like spot FX, but have all the protections and tax benefits of futures contracts. They aren't doing a ton of volume, but the bid-ask spreads are pretty good in the Euro (FSED) and Yen (FSDY), usually 1-2 pips wide. The spreads in the Sterling, Swiss franc, Canadian dollar, and Aussie dollar are pretty decent. You can watch their order books live from their website.