Generally it's fine either way, it may be more suitable to use frames if you need to iterate, but overall it's more readable if you had 2 animations (say you have 2 items, health and ammo, better to have them named like this and clearer in your events when you see "set anim to Health" rather than "set frame to 0").
Oh, wait, we have animation frame tags now, so I guess either way works fine!
Perfomance wise, I believe it's not a concern.