RedHat has acknowleged that Sun's JDK is faster - despite the fact OpenJDK is native. Since it's native, it also means it's not platform independent (in the sense of compile once run anywhere.)
What do you mean "is native" ?
The JDK (or rather the JVM) is native on all OS, since it is the layer which makes the Java compiled bytecode portable. OpenJDK could even be seen as more portable since the IcedTea build harness allows to port it to more platforms via the Zero JIT (there is a significant amount of processor-dependent assembler code in the JVM)
I'm using OpenJDK on my servers and desktops under CentOS/Fedora for years, and my customers run the Java binaries on Windows without problem.
I have no idea about speed difference, but I would be a bit surprised if it would be very big. My understanding is that the (native) Hotspot JVM is basically the same for both products and that the differences are about some java libraries. That would be interesting if you could send a reference to this Fedora thread.
More generally OpenJDK is not a separate independent project (like Blackdown used to be, or Apache Harmony still is), this is just the Sun JVM codebase, with compatible licenses (some patches are then applied by the IcedTea build harness when building the binaries from OpenJDK sources).