I don't know much about this, but this is what I believe Captive Runtime is.
Till now, whenever an AIR desktop application is installed, the installer checks for the AIR Runtime in the system. If the runtime is not present then it connects to the Web to download and install.
What Captive Runtime does is that it bundles the AIR Framework into the application thus removing the 3rd party dependency.
I am not sure about the size and performance, but this is my guess. I believe the installer size might be affected depending on how the bundling is done, but there should not be any effect on the performance of the applicaition (neither fast not slow).