System.Graphics wraps GDI+. .Net is potentially faster than Unmanaged. This is because it compiles at runtime which allows for runtime compilation options that aren't avaliable in an Unmanaged C++ compile. .Net wraps the Windows API but this does not affect the fact that if the processor has special capabilities and native functions the program will be adapted to use them without you having to write any extra code where as in an Unmanaged application you would need to manually check for each feature and use it if possible, most likely, manually. Even if you do this that doesn't mean the program will adapt to new Native aditions that weren't around when you wrote the application which .Net probably will because of the updates to the framework.
It is still stupid of Microsoft to leave out a basic Sound class(Wrap PlaySound, anything is better than nothing), Macintosh and Linux both have sound support so not even having a class with just Play, Pause and Stop is irrational.
GDI+ is a bit slower than GDI32 but this has nothing to do with .Net, blame GDI+'s new features like translucency.
I never was insulting VB.Net, I always use VB.Net because I've always hated C syntax(case sensitivity has always annoyed me). It has, however, been shown that in a VB.Net application and a C# application that perform exactly the same thing, the VB.Net application will have an extra three lines every 30 or so. There was some experiment that I read somewhere, I'll post the link if I find it again.