https://stackoverflow.com/a/25755481/3712 (MSYS2 dev)
As for whether it's slower, I expect there'd be very little difference but MSYS2 would be a tiny amount slower due to the extra conversion work.
https://github.com/msys2/msys2/wiki/How-does-MSYS2-differ-fr...
MSYS2 provies a minimal shell required to run autotools and other build systems which get the source for software from the Internet from different repositories, configure them and build them. The shell and core tools exist mainly to allow porting Unix programs to run natively on Windows (i.e. without requiring a POSIX emulation layer). MSYS2 doesn't try to duplicate Cygwin's efforts more than necessary, so the number of provided POSIX-emulated software is very small.
(I recommend Cygwin, I've been using it for 15 years or so, and have access to almost everything I've ever needed from Linux command line. The slowest thing is forking; emulating it in Win32 executables is not easy on NT kernel. MSYS2 doesn't fix that.
Also, apt-cyg is pretty decent for installing packages on Cygwin.)