Short Answer: Yes
Long Answer: While self-awareness and research are what will save you time, money and grief, competition is still stiff. Your mindset about them is ultimately going to be your salvation.
I've reviewed for and consulted on more screenwriting competitions, labs and fellowships than I care to remember. Some of them are on the artist support side: Sundance, Film Independent and Women In Film. Others have have been on the hiring artist side: HBO, FOX and Disney. And, some are on the industry facing side, like Project Greenlight and Nichols Fellowship. Knowing whether or not they are worth your effort and cash comes down to three main things...
Your specific career needs
The competitiveness of your writing
The mandate of the program
Understanding your specific career needs begins with an honest assessment of your current stage as a screenwriter, which will help you asses the right opportunity for you. If you're newer to screenwriting and need to workshop an idea or screenplay, courses or workshops may be best. These can provide a structured environment for learning the fundamentals, receiving feedback, and refining your skills. I find it's also helpful to have your natural talents reflected back to you, such as, "you're so good with dialog", or "your world-building is so strong". This is helpful when it comes to the inevitable 'artist statements' in nearly every contest or fellowship application. These usually come with a financial investment on your part (almost, always worth the investment, if from a reputable organization), but are not competitive and helps build your confidence.
For those with a foundation in screenwriting and a script that shows promise, the need may be to sharpen that script further, build a community of like-minded writers and gain overall career mentorship. In this case, labs or fellowships can be a great fit. These programs often offer mentorship, feedback, and the chance to collaborate with peers, fostering both individual growth and a sense of community. The labs I've been apart of have fostered much needed and long-lasting friendships that have elevated not only my career in unexpected ways, but the emotional support I was missing. Mentorship is usually apart of these opportunities, and often times, can be career-lasting mentorships. Keep in mind that there may be application fees and they are quite competitive to get into. The upside is that there is frequently some kind of press for you to use in your favor, and the community you gain is career focused.
Once your script is polished and doesn't require further development, it's time for the screenwriting contests. These competitions often focus on evaluating the strength of the script and the distinctiveness of its voice. There's almost always a press release and could lead to opportunities to meet with representatives and industry executives. Most contests have an application fee, and while a lab or fellowship is focused on the writer as a whole, there's a much heavier focus on the script with a contest. It can be career defining, but lacks the guidance a writer may need on capitalizing on the win, if they don't already have reps, mentorship or a strong community. These are very competitive, especially the big ones, but people win every year- why not you?
Getting into either the labs/fellowships or contests rests on the competitiveness of your writing. It's true that labs/fellowships are more focused on how they can support writer. This means, in your research, you're going to be looking into exactly what the labs/fellowship offers in terms of programming. Your application, in this case, should address the gap in your career that the labs/fellowship is attempting to close, with how their program is built. READ THAT AGAIN. From the specific challenges in your script, to what you express in your submission that you're looking to gain from the experience, the decision makers are trying to match writers who are in needed of what they are offering - not more need than they can address - or not enough need to truly benefit from the opportunity. After that, it really is about the strongest, most exciting work.
On the other hand, screenwriting contests are looking to launch the careers of fresh writers and expose them to the industry. The final list is often diverse in tone, genre and writing styles.
What do both of these opportunities have in common? The top projects that are being considered is a relatively small pool. This is good news for you! While it can be said that these opportunities are extremely competitive, 80% of everything I've read while reviewing was terrible to terribly mediocre. 10% was pretty good and 10% was great, and moved to the next level. Out of that, 5% was superior and the winners were 2% out of that 5%, based on mandates and developing a well-rounded cohort or list. This should encourage you because if your script is at least pretty good, you're only competing against 20% of writers who submitted. If not, revisit the courses and workshops. What this math means is that you're likely a lot closer than you think, to any of the opportunities that best fit where you are in your career. The key is self awareness. If there's anything that makes applying to contests, fellowships and labs feel so exhausting, it's having no idea why you aren't getting closer to the final group and then getting in. Many open calls inform you at the semi-finalist, finalist, and winner stages. This is an indication for how well you're fairing and improving. Take note of this, and continue working on your voice as a writer and the nuance of your storytelling to keep moving up. If you're having trouble getting there, courses and feedback services are plentiful.
Every lab/fellowship and screenwriting contest has a mandate, the governing principles for how they choose writers. It's not just fine print; it's literally what your script will be judged against in the reviewing process, usually on their website somewhere. It's up to you to find them, read them and self-select opportunities for your work; based on the accuracy of fit. You don't need to get into every lab or on every list, and you won't. They're all built differently, to support different work, for different reasons. Please protect your heart, your time and your money by understanding that a high quantity of applications is not a strong strategy. The strongest strategy for you will involve honesty on your part. Honesty about where you are in you career, where your writing is, in terms of craft, and what opportunity best fits those truths.
I want nothing but the best for all writers. What I wish I would have known before spending my last $75 on a fellowship that I was never going to get into is that there was always a best place for where I was in my career, I just didn't understand what it was. I can't make you any promises, but I can assure you that having an accurate assessment of your work IS. THE. PLUG.