The answer is simple as always – it depends 🙂 For the most simple URL filtering or URL rewriting capabilities implemented in the rewriter program itself it will probably be faster than ICAP but… depending on how the filtering program is implemented it may (and probably will) call some external program that implements ICAP and URL rewriter interface and performs actual rewriting. In this case ICAP may actually perform better 🙂
Another promising opportunity is recently introduced eCAP interface – the ability to run filtering code directly in Squid’s process, but for now the interface is not stable and constantly evolving so e.g. QuintoLabs waits until it is stable enough to start implementing web filtering.
BTW URL rewriting rewrites URL only and ICAP has full access to HTTP’s request and response and may perform other functions except simple rewriting (think content inspection, malware filtering, file control and others).