You might want to take a look at this series from May 2005 where Rico (perf guy for .Net) and Raymond (serious old school C/C++ MS programmer guy) go head to head in a friendly competition.
http://blogs.msdn.com/ricom/archive/2005/05.aspx
Of course the C++ guy was going to win eventually but when you see the hoops he has to jump through you might reconsider saying .Net is slower. This was also .Net 1.x
I will concede that there is certainly extra memory overhead in the .Net world but really we are way past the time when we had to worry about counting bytes. The .Net guys really do need to work on that more though so I am sure it will improve.
The other thing to note from the articles is that it really takes an expert to get the best out of any language. Telling a beginner that C++ is faster doesn't actually make their code go any faster because they don't get the concepts and can't generate efficient code or debug it because its just too hard. Most of the 2d games that people are going to make for the zune will be limited not my the technology or the runtime or language but by their own algorithmic limitations.
There is a place in the world for all the languages... having unsubstantiated arguments about what is better than what in forums usually doesn't go anywhere useful....