Zone files are more flexible than HOSTS files, but I still use HOSTS as well. I have never had a concern about the speed of using HOSTS. It is certainly faster than DNS.
There is a comment in this thread where someone asserts that HOSTS was never designed to handle "millions of entries".
I would be interested in reading about a user who visits "millions" of websites or otherwise needs to do lookups on "millions" of domains.
I maintain a database of every IP address I am likely to use on a repeated basis, in several formats, with kdb+ as the "master" format. I believe most users will never come close to intentionally accessing "millions" of IP addresses in their entire lifetime.FN1 I could be mistaken and it would be interesting to learn of a user who can dispel this belief.
FN1. If you think about this, it may cause you to question the necessity of DNS for such users. Or not. Times have changed since the advent of HOSTS. They have also changed since the advent of DNS. For example, using "consumer" hardware, I can fit all the major ICANN TLD zones on external storage and the entire com zone (IMO, by far the most important) in memory. This is many, many more domains than I will ever need to look up. Assuming at best I will not live much longer than 100 years, I could not and will not explore them all or even a significant fraction.