As far as loading time is concerned I haven't seen anywhere, including the documentation, if there is a real advantage in using the context module to display sitewide blocks over the Drupal default block page.
For D7, some say Drupal loads all blocks for every page but displays only those that are visible. If so, then using context could dramatically speed up a site with many blocks. Others say D7 only loads the visible blocks.
But, which is it? Is it worthwhile to switch to context for block display? Does any one really know?