Traditionally MSYS bash has been inferior, but mostly because Cygwin remained under active development whereas MSYS didn't. MSYS forked from Cygwin version 1.3.3 and never re-synced, whereas MSYS2 resyncs with the Cygwin project regularly.
We don't have a "sweet pacman like package manager", we have as direct a re-compilation of Arch Linux's pacman package manager as we could achieve.
MSYS2 doesn't have cygwin.dll but it does have msys-2.0.dll which does the same thing (and some more besides). Specifically, arguments that look like paths and the PATH env. var are converted to Windows form when running Windows-native software.
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. Then again, chances are you'll run more Windows-native software from within MSYS2 (such as MinGW-w64 compilers) than you would from Cygwin so that'll shift things back in MSYS2's favour.