I would find it hard to believe that the difference in efficiency/drag would be significant enough to choose one over the other. If the cage is the type that has a full complement of ball bearings I would go with that for the ease of maintenance mainly and the theoretical reduced friction as a side benefit. Otherwise I would choose loose balls because the added contact surface seems to promote smoother bearing wear. Rough bearings would certainly pose a greater friction cost than loose vs. caged, and most people do not check their bearings very often. Certainly in a shop setting I would choose loose balls (or a full complement cage) exclusively so as to give the customer the longest lasting overhaul.
p.s. My assumption of a small efficiency difference may be wrong, but I have not yet seen a reference to an actual measurement of a difference.