If you run WinUAE and then DOSUAE, you might think that DOSUAE was faster!!!
But if you look carefully you will notice that DOSUAE has no real time timer, which means that keyrepeats are unusable for exaple. DOSUAE tends to be less compatible (due to the lack of a real time timer) and for number cruching and graphics opperations are slower than WinUAE.
The problem I find with WinUAE is audio support... Audio quality is poor even with my Professional Studio Audio sound card. But DOSUAE generally has no sound card support.