Nutritionally it’s all the same, all else equal. Any given cutting of alfalfa hay can be higher, or lower quality, even within the realm of horse quality (which is “lower” quality than dairy quality), ranging from very stemmy with few leaves, to very leafy and yummy. Brand name alf cubes tend to be good quality alfalfa, I’d watch out for “back yard” stuff that is more likely to be the hay that wasn’t good enough to feed as hay.
The problem is if you’re feeding significant amounts, and it’s the big hard cubes that need to be soaked.
There are some cubes that are smaller and/or softer that break up very easily, so don’t HAVE to be soaked, but may still pose a choke risk if not.
Cubes, whether soaked or not, take less time to chew, so 10lb of alfalfa cubes take less time to eat than 10lb of hay, and with the less chewing time, there’s less saliva production which means less stomach acid buffering. This means they’re better for supplementing forage, rather than replacing some of the regular hay, when at all possible. So if you provide all the grass hay she’ll eat, she can then have soaked cubes (or pellets) as additional food/calories