No.
Exclusive mode is actually faster because it gets exclusive control of the final framebuffer output to the display.
Improvements to the Windows compositor have made it """obsolete""" (read: closed the gap). A borderless window is not better than proper fullscreen but it's recently gotten close enough that nobody wants real fullscreen anymore due to the way it slightly complicates things for the developer and the mode-switching when changing active windows is annoying for players.
If you are playing at your native resolution, use exclusive fullscreen 100% of the time you're allowed, unless the game is straight up broken there is no reason not to.
If you are playing at a lower resolution then it is honestly personal preference.