How can you tell between the Premium Painted Figures and the Regular Painted Figures?

Or am I completely lost and confused?

In Arkham, I suspect we are all rather lost and confused; but to answer your question - the Collectible Minature Sets (Investigators, and as of this response three waves of monsters) are all Premium Painted Figures. Regular figures wouldn't be painted, such as the ones included in the Mansions of Madness Base Game.

Good Hunting!