No, the action stores a reference to the GameObject in either case, so it doesn't need to do a search. Generally, actions that do searches have "Find" in the name. These can be slower but it depends on your specific use. It's generally best to build the simplest behaviour that works, test it, and then optimize if necessary.
We will be adding some profiling tools to the PlayMaker editor soon to make it easier to spot bottlenecks (e.g., highlighting states that are taking too much time).