Whether there's a performance detriment from borderless-fullscreen vs exclusive-fullscreen depends on how a program presents its frames (and on the OS, of course).
On Windows, under ideal circumstances borderless-fullscreen performs identically to exclusive-fullscreen as Windows will let the program skip the compositor and present its frames more-or-less directly to the display. (Under really ideal circumstances the same applies to bordered non-fullscreen windows.)
If the compositor can't be skipped, borderless-fullscreen can be a bit brutal on performance: on a 4K 160Hz screen I've experienced an additional 40-milliseconds+ of frame-latency purely from borderless-fullscreen being used.
Like, the whole giving the application maximum priority would work the same?