State Server is faster because it stores session data in an in-memory dictionary. SQL Server is slower because it’s stored in a database which persists data to disk.
SQL server is also slower because everything is stored in one table which leads to contention as more and more clients access/update the session data.
SQL server is more reliable because it is persisted to disk and can be set up as a cluster with failover capability.
See the preamble in this article for an indepth explanation.