Gravitational waves are massless and move at the speed of light, so they carry exactly the same amount of momentum per unit energy as light. In other words, a rocket producing gravitational waves would essentially the same performance characteristics as a photon rocket.
If you can convert mass entirely into kinetic energy, that is literally the best bang-for-your-buck that you can get. But if you can't--if you have a choice between using pure luxon propulsion with some useless exhaust mass, or using the energy you get from your fuel to accelerate the exhaust mass (like a regular rocket does), then accelerating massive exhaust is always the better option.
So, let's assume that have a perfect mass-to-energy converter, so expelling material exhaust is not your best option. Do you build a photon rocket, or a gravitational wave rocket? Well, that'll depend on how efficiently you can convert the available energy into either photons or gravitational waves. If you wave a magic wand and declare that you have a device that efficiently generates directed gravitational waves, there are some definite advantages to that; gravitational waves interact weakly with matter, which means they won't cause massive devastation if you point the terawatt watt beam of your exhaust at the ground for takeoff! But realistically, just building a photon rocket would be a lot easier and just as effective.