Yeah it blocks the thread, any other "user work" needs to happen on a different thread. But if you just need multiple non-blocking IO operations run in parallel it's as simple as it gets.
(the operating system's thread scheduler is basically the equivalent to the JS "event loop").
Desktop operating systems all have application event loops that run within a single thread because the OS thread scheduler is not the same thing. If you just want an event loop, trying to use threads instead for everything will often end up in tears due to concurrent data access issues.
An async/await runtime doesn't necessarily need to run everything on the same thread though (that's really just a Javascript runtime restriction), instead it could use a thread pool. In this case, the same concurrent data issues would apply.
The wait_all() "yields" to the operating system's thread scheduler, which switches to another thread that's ready to run (or if fibers are used instead of threads, a 'fiber scheduler' would switch to a different fiber within the same thread).
Taking into account that an async/await runtime also needs to switch to a different "context", the performance difference really shouldn't be all that big, especially if the task scheduler uses fibers (YMMV of course).
(the operating system's thread scheduler is basically the equivalent to the JS "event loop").