Well dinner parties do take longer and they're also more clicks to set up. Plus, what else are you going to build in the small building spot that you normally put the gazebo? The statue? A small garden? The main problem with it right now is it caps at loving and everyone's affection decays unless they're beyond undying. So from that standpoint the dinner parties are better since they're uncapped. Those are the best way to get males to stable affection.I think the gazebo hype is mostly just an old school mentality, it's been pretty nerfed over the past few patches (though it's still decent to be fair).
It used to be that you could do pool parties at any time and get full affection/happiness for everyone, so you could spend the whole day doing whatever (either working, or doing other affection-raising actions), then after midnight when everyone is asleep you run a pool party and get even more affection.
Then they changed it so you can't run a pool party after 10 PM (which would make it end after midnight). And then in a more recent patch they changed it so only people who are actually available can attend and get the bonuses. So now it's just equivalent to any other party because you effectively can only do it during normal party hours if you actually want everyone to get the boost.
I use the dungeon to get females maxed out but it takes awhile to get skills up to the point where that's really viable. So in the meantime the pool parties are a good way to boost the dozens of venemous people you get up to loving (or at least high enough to be useful).