Im not sure but since everything is virtual, Im gonna say that games installed on windows hd wont go slower…
I wont install em on windows images mostly because I want to have the images as clean as possible, and because windows images get corrupted easily on dosbox ( keep always upto date backups of the images… getting into a bootlop is QUITE easy ).
My way is to create an IMG for the SO, and IMG with the game installed and the ISO inside if needed for drm check ( SO img on internal memory and game IMGs on SD card ), and to have dosbox on expert settings with the autoexec pointing to a .bat where I mount the internal memory/sd and windows drives and to another bat where I mount the game img and boot windows.