how much of a performance boost are we talking here ?
This can depend on a number of factors, especially on whether you intend to localize labels, etc. The more you localize, then the more of a performance boost you will gain. It is embedded within the EXE so no trips to the server are required. The embedded option will be 100% instantaioneous and not impact load performance. If you are pulling from SQL Server, then you can experience a load delay as a trip to the server will be made for each request (until it has been loaded once then it is cached during the run).
So the performance boost is extremely significant and if you intend on localizing every facet of your application, you would be well advised to embed your localization files. If you are only going to pull messages, then it will not be that big of a deal.