Hi Rilind, community guy here.
As you could imagine I don't think there's anything besides networking overhead. The Federation is basically an (internal) AMQP client (as described
https://www.rabbitmq.com/docs/federation#link-failures)
If go via Federation you will only have network-hops between connected Rabbit instances where as deploying your own application would be adding +1 extra network hop into the mixture - depending on which network you are deploying this WAN vs LAN this can a huge difference (honestly even LAN?).
I would recommend benchmarking this but I personally would chose for Federation unless you having more control is an requirement.
Regards,