Marco Russo and Alberto Ferrari do a performance comparison:
Relationships between different data islands are the most common case of limited relationships. In that scenario, performance depends on multiple factors, most of which are not under the control of a DAX developer. Indeed, when mixing data from different data islands, the DAX formula engine must act as a bridge between them, resulting in complex execution plans. Besides, when two tables reside in different data islands, only limited relationships can connect them. Therefore, a performance comparison would not make sense, as there are no alternative options to link the tables.
However, a model can have limited relationships in the very special case of two tables stored in the same data island and connected by a many-to-many cardinality relationship. By nature, many-to-many cardinality relationships are limited. While they seem like a convenient way to link two tables when the key used to link them together is not unique in both tables, many-to-many cardinality relationships are extremely expensive, and a wise data modeler should limit their use strictly to cases where they are absolutely necessary. In this article, we analyze the differences between regular and limited relationships, focusing solely on performance.
Read on to learn more.