They shouldn't do. I haven't seen it happen, and technically, it just requires Hubpages to have some half decent database caching for the comments system, which I'm sure they have.
If it were uncached and each comment had to be retrieved as an individual database search, then yes, additional comments would slow the system down as you'd have many extra requests. Caching though will mean that all the page data is sent as one request.
That said, it means more data is sent down the line, but it will likely be compressed, and as it's basically text and a few commentator images, it's hardly any extra. If people are on dial up, then this extra data will take time to download. If they are on broadband, I doubt they'd notice it.
I just tried loading a hub with a lot of comments, and I get the initial page furniture appearing, then a millisecond pause as the page content is downloaded (browser render time most likely), with all the hub content including comments loading at the same time, which indicates caching as I suggested.
The only last part of the equation is browser render time for the additional comments, but again, you'd have to be on a pretty slow PC to see any difference.
So, short answer to my long ramble: no.