Yeah, it's way less efficient to have to switch apps then just toggling to the messages tab.
As I've said, I've been using it like this for years (at least two). I've had the FB app first, and once I discovered the messenger app, the whole experience became a lot smoother for me.
I hardly ever switch apps though. If I get a message, I click (or slide) the notification, and I go to the correct app. Maybe if you happen to be in the FB app while you get a message, it now could take a second or two longer, but I can't really remember that ever being an issue (and I'm a user that wants everything to be quick and snappy).
Give it a chance. After using both apps for so long - and I do about 90% of my messaging with FB, from personal stuff to talking to clients - I personally would hate to have to use the FB app for messages. I can understand that people have different experiences and expectations, but if this is a new change, maybe wait until you're used to it before being so angered about it