This option was newly added to latest version of VBox , googled a lot , seems no much information was revealed , could anyone please help me pick one disk format ?
Which one owns better performance here ?
The purpose of multiple options here is a matter of compatibility, not performance. They all do essentially the same thing, so any performance differences are likely to be implementation maturity issues rather than inherent flaws in the format's design.
VDI will have received the most attention in VirtualBox, VMDK in VMware, etc.
My advice, then, is to always use the native format for each VM technology unless you are migrating a virtual disk from one VM technology to another. When migrating, go ahead and keep the disk in its original format rather than bother with a format conversion, unless you have a tool that makes that easy.