Usually, you don't have a single event to manage per frame, you need to manage a lost of asynchroneous events, periodic events, updates, etc., so the situation is more like "managing a variable but maybe huge number of things vs iterating on all the components".
ECS forces you to iterate over every component in your game/scene, but they are laid out in arrays, which favorizes fast-access on modern CPU architectures via the use of caches.
If you have very few events per frame, this can indeed by more costly to iterate over every component (but is this really an issue? cf below), but it might not be the case with more events.
As always, we can always formulate general guidelines, but the hard truth about software development is that it can be totally counter-intuitive due to the complexity of modern processors and the numerous efficient optimizations that compilers are capable of.
For this reason, in order to determine which way is the more efficient and where are your bottlenecks, you need to test and profile your application instead of relying on 'rules'.
When developing software, you don't try to have the best performance possible. Instead, you set up a target performance (which depends on the target hardware) and you try to achieve it. There is no need to spend 2 months trying to get your game loop running 2% faster if is already runs fast enough!
You also have to remember that performance is only one aspect to take into account with your code/architecture. It might be the most important constraint for a project, but this is usually the case only for embedded systems with very limited processing power. In general, it is part of a trade-off with other aspects: simplicity, maintainability, development speed, etc.
ECS can help with those because it is a very flexible architecture, which allows to make changes to entities easily.
Considering all of these, we can say that ECS is not per se a costly architecture performance-wise, and that performance depends both on the implementation and the specificities of your project.
Performance is only one criterion competing with others, and the best solution is always a trade-off between all of them that is specific to each project.