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Within a Flex application, one is expected to favor using mxml over AS, provided both uses are available. In case mxml doesn't provide a solution , the user can fallback to AS3. Flex is a framework, therefore you would expect that the emphasis is put towards mxml, rather than AS3. Like most frameworks , the idea is to hide the details in order to facilitate design and supposedly make programming more accessible.
Everything comes at a cost though, you can't really expect mxml to be faster than AS3 since it's built on top of it. A logical conclusion would be to decide on a case basis. What are your app requirements, is there really a performance gain in using this component or not etc... Apart from the fact that Flex as a whole is bound to be slower than AS3, I don't think you can set general rules. One could add that if one is worried about performance, why choose Flex in the first place...
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The Flex framework is geared towards building RIAs, therefore it comes with a bunch of components to that effect and mxml which mainly deals with the layout of these components, Actionscript being the language the Flex framework is built upon, will typically be used for the logic of your application.
The question is not really why choose one over the other. It's the same approach you would have if you decide to develop using a language directly or using a framework based on this language. It's like comparing JQuery & Javascript or CodeIgniter & PHP .I don't mean to imply that the reasons to use JQuery are the same regarding using Flex. Whilst JQuery will attempt to hide browser specificities and make JS more accessible , Flex's purpose is entirely different.
If you're developing RIAs, Flex makes sense, if you're developing games, not really. All you can do with Flex can be done with AS3 , only you wouldn't want to spend time developing DataGrids or HBoxes whilst you could spend more time on your app structure & design.
On the other hand, if you're developing a website or a game , you wouldn't want to add the weight of the Flex framework to your swf, simply because you've added a few Image components and a couple of Labels.
Flex is not adapted to every situation, unlike my previous Javascript or Php examples , Flex's purpose is not to make the language it's based upon more accessible or easier to deal with. Flex has a very specific target.