I have not done a formal comparison, but recall something to the effect that a file with ten different configurations would be slightly smaller than the sum of those ten configurations if they were saved as individual files, for instance. The advantage of configurations is two-fold: shared/similar part definitions, and convenience in changing configurations. The disadvantage is the files can get large, depending on the number and complexity of the configurations.
Since you are talking specifically about fasteners if you were to have a file with a Design Table (the correct SolidWorks term) it would be very easy to populate the file with all the different configurations and descriptions of the fasteners for a given type. It would also be very easy to change the use of a fastener in an assembly. For instance, say you have an M4x20 SHCS and you later decide it should be 25mm. it is a very simple matter to change that fastener from the 20mm to the 25mm configuration with a configured file. On the down side, if you are using only one or two different fasteners in an assembly you are now accessing what could be a large file.
Like anything there are trade-offs. For fasteners I would recommend the configured file because the benefits you'll love while the slightly slower access of a large file you'll hardly notice. Just think of how much more difficult it would be to change fasteners as in the example given if the two were separate files.
With all that said, however, we use Toolbox for our fasteners. Once you learn how to properly set it up it is a real benefit to use.
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