It used to be that an add on nic was preferred because it would remove some of the workload the CPU would have to do. Anymore, processors are so fast (and multi core) that I don't think it makes a difference.
The only difference would be the quality of the components today. It really depends on the specifics but for general use it won't matter much. If you wanted to do benchmarking or something stupid like that, it may play in a factor.