Some reasons never to use the first approach regardless of the number of records:
It is more verbose
The intention is less clear, since there is more clutter
The performance is worse, probably starting to degrade with the very first entities
The performance of the first approach will degrade much more with each added entity than with the second approach
It is unexpected - most experienced developers would not do it - so it needs more cognitive effort for other developers to understand. They would assume you were doing it for a compelling reason and would look for that reason without finding one.