The short answer is “it depends”. In most cases there shouldn’t be (or using entities can actually be more optimized) because internally entities are created using the Primitive API, and they’ll often get batched together automatically to make sure it’s fast (which may be hard to do if you’re creating the primitives directly).
How many lines and billboards do you have? Are they clamped to ground (that is generally more costly than non-clamped to ground entities) ? Can you share a Sandcastle reproducing this? See: How to share custom Sandcastle examples