Well, I think lightmapping is the same speed either way, unless you mean calculations, but that doesn't really matter much to me. Your right that program(max, ect.) lightmapping offers a bit more abilities, but i'm sure placeing static lights in WED would be much much easier(especially if the textures of models show in the preview sometime soon + lighting) than baking it in your 3d program and exporting. For example, an average racetrack level from max(that I've developed) has around 40 individual meshs to export. To bake all this in max + exporting it all properly(plus the shader code, if indeed possible) takes up more time than it would to just do the lighting in WED and use that as a final product.

Hopefully theres an answer of when the WED version of lighting will be in beta... i'd like to try out the program version too, but unsure how to go about it(never programmed much shader code before, and dont know how to share texture coordinates from max-3dgs vertex format).