Yes and no. There are several differences, the biggest one in my opinion is that cproxy proxies all TCP and UDP connections without requiring the underlying program supporting any proxy, while if you want to use HTTP_PROXY on a program, the program has to explicitly support HTTP_PROXY in its source code. Overall they are all methods to proxy some traffic though.
I didn't do any benchmark, but the performance hit should be minimal since all the heavy work are done by kernel cgroup and iptables. They are very efficient in most cases.