Speed-wise, with the newest lslua, I can't tell the difference between the two. Which you should use really depends on your preference. Lslua can really simplify certain things (Cerbie's mzscript for rgb to hex vs his lslua script comes to mind), though, because of its internal functions. But, for the most part, theme's never really get complex to the point where the scripts actually needs to be using a real coding language.

I personally like lslua better now, because I like the structure/syntax better, but there's no reason to not use mzscript if that's what you're familiar with.

If you're open to relearning something, go for it, and learn lslua. Nothing wrong with learning stuff.