Hi,
no differences in terms of performances, but indeed, as it's been said, it's easier and more flexible to use a fsmvariable instead of referencing direclty in the action. Then you can expose that fsmGameObject in the inspector for example, or reuse that gameobject in different states and action, and be sure that you only need to retarget the fsmGameObject itself, instead of refactoring all your actions, and obviously miss one state and boom: very hard bug to track down then...
bye,
Jean