I doubt it makes much of a difference so it's probably best to prioritize what makes your events cleaner, more readable and easier to work with.
Personally I think too many objects is awkward with the C2 interface, turning all those objects into animations/frames inside one object and treating that as a 'group' is often easier.
Although if you really want to find out, you could test it yourself.
I guess just create 1000 of each with a loop on startup and check the memory usage with task manager