Well it depends. Stack is just a data structure. I'd say that the fact alone that you go from a deep call stack to "iterative" version where you can clearly see the stack in the code doesn't automatically make it much better.
Indeed this is normal. Apache Camel produced such huge stack traces they refactored the routing system specifically to reduce AsyncCallback usage and shorten stack traces; at one time Camel would dump traces thousands of lines long. However, pointing this out doesn't actually address the question; is there a performance issue indicated by these huge call stacks?
I've wondered about the question myself when encountering incredibly long stack traces while troubleshooting Java systems. I've also wondered if there is some more general dysfunction indicated. I've see impressive stack traces in C and C++, but nothing quite like what I've found in Java. What is the experience of C# programmers?