The speed should be the same. However if the application involves a lot of output I think its possible the console application runs slower since output to the console is notoriously slow when compared to a GUI. Don't know however if this also holds true for managed code.
Meanwhile... I don't know if anyone told you before but if you are programming for the CLR, including windows forms, you are not developing in C++. You are developing managed code. You should be asking question on the C# or Windows forums.
