I haven't noticed any speed difference, but we don't use JNI for any speed critical stuff. It's mostly used for accessing OS specfic APIs and functions in 3rd party DLLs and ActiveX controls.
It's definitly much simpiler. I can get rid of the seperate Visual C++ projects and also simplify my ANT scripts by using this. If I can figure out this last structure issue, the only JNI code I'll have left is in the PowerBuilder to Java integration module, which has to stay in C code because of PowerBuilder.