At to whether the one call or three (OK, 2.5, since the first call is implicit) is "better" (ignoring the heap issue), it's worthwhile thinking about the conceptual flow of the program, and your intellectual control over it. And it's also worth considering practical issues related to coding.
On the caller side, if all the appropriate parameters are already at hand where the object is being created, then the single call makes it more obvious that, indeed, all the parameters "belong" to that object, and it's being created "in one piece". On the other hand, if using a single call means that the calling code must gather up parameters over time and then spit out a single "pent up" call, then it may be a better choice to create the object and then set the corresponding properties one at a time, as their values are developed.
And, on the callee side, there may be practical considerations. For instance, it may be that there are a dozen properties, with different uses of the object likely to use different combinations. Rather than provide dozens of different constructors, providing a single constructor (or a small number of them) combined with multiple property setters is both more efficient of programmer time and less apt to be confusing to the user of the object. But if the same combination of a relatively small number of parameters is (almost) always used then the single call is probably a better use of programmer resources.
(Of some importance here is the fact that C++ does not implement true keyword parameters, so when parameter lists get beyond 4-5 items one loses intellectual control over which parameter is which, especially if there are several forms of the constructor. In such a case using separate property setters gives the (rough) effect of keyword parameters and reduces the chance of confusion.)
Efficiency isn't always about CPU cycles. Efficient use of programmer time (including reduced time spent debugging) is, in many ways, far more important.