Why not use both DLLs? Prefer win32 wherever possible and use the lower level APIs only if absolutely necessary. Benchmark after you have figured this out. Performance is probably not a thing at this level of abstraction.
Here's one fun example from following development on Zulip: advapi.dll loads bcrypt.dll, which loads bcryptprimitives.dll. bcryptprimitives.dll runs an internal test suite every time it's loaded into any process. So if you can avoid loading advapi.dll, your process will start faster.
Why? Is there any realistic scenario where your cryptography libs worked correctly yesterday but the exact same ones will be buggy today? What would be wrong with them just running once per build instead?
Zig doesn't run any code from the dll that never gets loaded, of course. Why run tests for code that is never called? If another part of your app does load the dll, the tests will still run.
