In the simple testing I did I found that they were an order of magnitude faster. But in general these are requests Puppet only does on the first run for that host, so it won't be a big speedup of Puppet in general. More like cutting 0.5 seconds from the first run or so :)
But in our case we wanted to update the CRL when it had changed on the server, so this allowed us to have a curl with the -z option run before puppet that downloads it only if it is changed. Puppet itself doesn't support caching headers, but Apache does of course when serving static files.
I can see if I can make a proper benchmark though.