C++ is a compiled language rather than an interpreted language. This means that the code you write is converted (compiled) into machine instructions. MEL and Python are interpreted languages meaning that it goes through line by line, reads the command, converts the data, then executes the command. Obviously compiled code will be faster, as the code is compiled once, rather than every time the script is run.

The reason why it is much harder to find examples of the C++ Maya API is that it is much lower level than the MEL and Python wrappers; a lot of the functionality is left for you to implement. It also takes much more time to learn the API, develop new plugins, and maintain them with newer versions of Maya. You need to have a good grasp on what Maya is doing in the background (DAGs, etc) as well.