I understand the advantage of using RegexOptions.Compiled - it improves upon the execution time of app by having the regular expression in compiled form instead of interpre
For any specific performance question like this, the best way to find out which way is faster is to test both and see.
In general, compiling a regex is unlikely to have much benefit unless you're using the regex a lot, or on very large strings. (Or both.) I think it's more of an optimization to try after you've determined that you have a performance problem and you think this might help, than one to try randomly.
For some general discussion on the drawbacks of RegexOptions.Compiled, see this blog post by Jeff Atwood; it's very old, but from what I understand, none of the major relevant facts have changed since it was written.