Plants can only use a finite amount of light, and are adapted to growth under less than ideal growing conditions...even on Earth, they experience cloudy days, shade from other plants, etc. Many crop plants will be at or near light saturation even in Martian sunlight.
Noon sunlight on a clear day on Earth is about 2000 μmol/m2/s, so on Mars it will be about 890 μmol/m2/s. Per this table, spinach, in sunlight, has a light saturation point of 857 μmol/m2/s. Potatoes are can make use of more sunlight with their saturation point at 1145 μmol/m2/s, but they'll probably do fine. Tomatoes at 1985 μmol/m2/s might benefit from doing something to augment natural sunlight. And breeding and engineering may improve the ability of crops to make use of the dimmer sunlight on Mars.
However, your options are not limited to either sunlight or lamps, you can also install lamps in your greenhouses and use them to compensate for season (Mars has both an Earthlike axial tilt and an orbit eccentric enough to be significant), light-hungry crops, and for events such as dust storms. Solar concentration would be more difficult (due to its dependence on sun position) and would be unable to compensate for dust storms.
As for the relative efficiency of the direct sunlight vs. the LEDs, using a more optimal spectrum but going through multiple conversion steps: the LED option might still be a more efficient use of sunlight hitting the surface of Mars, but that's not really a resource in scarce supply. Growing plants with any proportion of natural sunlight is obviously a more efficient use of power generated by solar panels, if all else is equal. However, it certainly won't be...green houses using natural light might need more active heating, or have higher power requirements for things like maintaining their atmospheres, supplying water, etc. Unfortunately there's no clear answer here, it depends on too many other factors.