I haven't done any specific benchmarks, but I would think that concatenation may be faster. String.format() creates a new Formatter which, in turn, creates a new StringBuilder (with a size of only 16 chars). That's a fair amount of overhead especially if you are formatting a longer string and StringBuilder keeps having to resize.
However, concatenation is less useful and harder to read. As always, it's worth doing a benchmark on your code to see which is better. The differences may be negligible in server app after your resource bundles, locales, etc are loaded in memory and the code is JITted.
Maybe as a best practice, it would be a good idea to create your own Formatter with a properly sized StringBuilder (Appendable) and Locale and use that if you have a lot of formatting to do.