It's unlikely you'll ever find a direct, and meaningful, comparison of the two, particularly on performance.
So, having direct experience with the BizTalk BRE and vicarious experience with the WF Rules Engine, I'll say that there are no 'risks' choosing one over the other, especially with Performance.
Even if you have an app that will process 10 million tx/day, there are many other places to optimize before any difference in the two rules engines will be even noticeable.
Having said that, the decision should be made based on what environment you're already working in. Meaning, if you are developing a BizTalk app, use the BRE. If you are developing a Win WF app, use the WF Rules Engine.