Time efficiency of Bitcoin Multi-signature Vs. threshold signature
There are some possible advantages to threshold signing. First, it enables a more flexible setting where the key can be divided into $n$ parts and any subset of $t$ can be used to sign. Second, you can go from holding a single key in one place to distributing it and back without making any changes. Third, you can achieve a type of proactive security by generating a new resharing of the signing key at frequent intervals.

However, you are right that for the very basic usage, multi-sigs will be much simpler. (I don't think that efficiency is a huge issue here since you typically wouldn't be doing a huge number of transactions all the time. Bitcoin isn't good for many fast transactions.)