I would love to tell you the difference but I won't here - it would take too much time.
I will say that, to me, the first sentence sounds like it means he didn't actually go abroad last Wednesday, even though he said it was his intention. The second sounds like he has an intention of going abroad next Wednesday. Then it's a question of Wednesdays. But that's just one way of interpreting it.
If the real Wednesday is in the future, then why is it preferable to change the modal from will to would? Well, maybe if his intention to go abroad ceased to be. Otherwise, it's likely we would say 'He said he was going abroad on Wednesday.
With modal verbs, if there's a change of modality, (like exchanging will/would), the result is a difference in meaning often to do with people's attitudes and intentions. Look at the uses of will/would in the following exchange.
A: Will you wash up? [request to do]
B: Yes, I'll wash up. [intention to do]
(20 minutes later...)
A: You said you'd wash up! [failure of intention = intention is invalid = past tense.]
B: Sorry, I'll do it, I'll do it. [intention to do]