YALMIP does exploit Mosek 9.0’;s native exponential cone capability. https://yalmip.github.io/tutorial/exponentialcone/ I;m guessing that will be faster than CVXQUAD.
Per @Joachim_Dahl in L1/2 regularized logistic regression CVXPY should also exploit Mosek 9.0’s native exponential cone capability.
If you try either of these, please report your experience (speed difference vs. CVXQUAD) here.