Technical,
I wouldn't go as far as to call your question non-sense. It is simply a misunderstanding.
When some app makes an outgoing connection, firstly the port number is checked, if it is some of the monitored ports (80, 110, 25, 143, 119) then the list of ignored processes is checked. If the current process is not on ignored list, port numbers are correct and the provider is running, the connection's payload is forwarded to the MailScanner or WebShield process and checked for viruses.
This is all happening only when the app makes an outgoing connection. For normal operation of your OS the performance is not affected in any way. It even hasn't any effect on the network speed for those connections that are not scanned (other communication than mail or web).
So until you have several thousands of ignored processes and houndreds of ignored mail transfers per second in my opinion there are no performance gains nor penalties.