Well, for starters, PCIe 5.0 x16 would do something like about 60 GB/s each way, while Thunderbolt 4 does 4 GB/s each way, TB 5 does 8 GB/s each way. If you don't actually hit the bandwidth limits, it obviously matters less. Whether you'd notice a large difference would depends heavily on the type of workload.

I can speak to my own experience, YMMV

I hooked up a Radeon RX 9060 XT to my Feodra KDE laptop (Yoga Pro 7 14ASP9) using a Razer Core X Chroma (40Gbps), and the performance when using the eGPU was very similar to using the Radeon 880M built into the laptop's Ryzen 9 365 APU.

So at least with my setup, performance is not great at all.

On paper, TB4 is capable of pushing 5GB/s, which is somewhere between 4x and 8x of PCIe 3.0, while a 16x PCIe 4.0 link can do ~31.5GB/s.

For numbers about all PCIe generations and lane counts, see the "History and revisions" section here: https://en.wikipedia.org/wiki/PCI_Express

Edit to add: the performance I measured is in gaming workloads, not compute

It carries pcie, but only at x4. Thunderbolt 4 is pcie gen 3 and Thunderbolt 5 is pcie gen 4.