Emanuele Meazzo shows one reason why loops can be so much slower in T-SQL:
Not everybody knows that SQL Server sends a DONE Token to the client each time that a SQL statement completes (so, everything except variable declarations); For the query above you can basically track it with extended events by tracking the “SQL Statement Completed” event.
What happens in a loop? For each statement that’s completed, a token is sent, which means that for this loop that contains 3 statements (the WHILE loop itself it’s a statement) 15 Million tokens are sent to the client.
There can be a drastic difference, as Emanuele shows.