By default, it looks like WHM/cPanel creates accounts with "www" as a CNAME for the domain without the www; eg, "example.com."

example.com. A 123.45.67.89
www CNAME example.com.

But I see that intoDNS throws a warning that it can't "get any A records for www.example.com".

Google shows all kinds of pages that imply that both methods are common, and the given reason for using a CNAME instead of an A is so that, if you need to change the IP in the future, you only have to change it once instead of twice.

But what's NOT said is whether there's any speed difference?

My sites all automatically redirect to www (a decision I kinda regret now and wish I'd gone the other way, but whatever). It's my understanding that when someone goes to www.example.com, then the server returns the CNAME, then goes to look for the value of the CNAME to find an A record, then goes to the value of the A record (which is the IP address).

Would it be even marginally faster to cut that process in half by changing the CNAME to an A record with an IP?

example.com. A 123.45.67.89
www A 123.45.67.89