Federated learning (FL) has gained wide popularity as a collaborative learning paradigm enabling trustworthy AI in sensitive healthcare applications. Never-theless, the practical implementation of FL presents technical and organizational challenges, as it generally requires complex communication infrastructures. In this context, consensus-based learning (CBL) may represent a promising collaborative learning alternative, thanks to the ability of combining local knowledge into a federated decision system, while potentially reducing deployment over-head. In this work we propose an extensive benchmark of the accuracy and cost-effectiveness of a panel of FL and CBL methods in a wide range of collaborative medical data analysis scenarios. Our results reveal that CBL is a cost-effective alternative to FL, providing comparable accuracy and significantly reducing training and communication costs. This study opens a novel perspective on the deployment of collaborative AI in real-world applications, whereas the adoption of cost-effective methods is instrumental to achieve sustainability and democratisation of AI by alleviating the need for extensive computational resources.