I just did a quick speedtest between inserting a photo from flickr vs using a photo uploaded to the local WP Media Gallery.
This is the results:
Photo from flickr
Average loading time: 1.32s
Photo from Media Library
Average loading time: 1.39s
Not much difference there. The test was done on a fresh install of Wordpress with no plugins installed. Firefox and Firebug was used in the speedtest.