Yes and no. HMAC is very inefficient for short messages, but that inefficiency quickly vanishes into noise for anything over a kB or two. (HKDF and HMAC-DRBG are probably the worst offenders as they are always running HMAC on small inputs).
But, on the other hand, HMAC has repeatedly proven itself to be resilient to all kinds of attacks. I definitely didn’t mean any MAC when I recommended HMAC: eg I don’t think Poly1305 is a good general purpose MAC. PRF maybe, but sometimes you need the MAC to be committing too. Yes, some hash functions can be used with a simple prefix MAC, but then you need to list which specific hash functions to use (and most of those are not yet widely available).
But, on the other hand, HMAC has repeatedly proven itself to be resilient to all kinds of attacks. I definitely didn’t mean any MAC when I recommended HMAC: eg I don’t think Poly1305 is a good general purpose MAC. PRF maybe, but sometimes you need the MAC to be committing too. Yes, some hash functions can be used with a simple prefix MAC, but then you need to list which specific hash functions to use (and most of those are not yet widely available).