I would venture to assume that this difference is due to the overhead of calling the class method.
In other words:

• ##class(%DynamicArray).%New() -> ..%OnNew() -> $ZU()
• [] -> $ZU()

There was a similar topic: Shared code execution speed

"Real life" *.inc entry is to execute macro routine "Entry^HS.Local.VA.Util.Log(%arr,,"D")" if Global ^GlFSL("Debug") is >0 by calling from a classmethod as $$$TestIf(arr) - no return value is required.

#define TestIf(%arr) if (^GlFSL("Debug")>0) {do Entry^HS.Local.VA.Util.Log(%arr,,"D")}
;or
#define TestIf(%arr) do:^GlFSL("Debug")>0 Entry^HS.Local.VA.Util.Log(%arr,,"D")

Usage:

$$$TestIf(5)

Statement "set a = $$$TestIf(3)" is included into a classmethod with no other code in. Expected output 5

What is the expected result for the next operator?

set a = $$$TestIf(-3)