I would doubt you would notice any speed differences. You will notice quicker loading times, as most slaves load all the game into memory.
Using whdload will actually enable you to use games, even with os legal installers, that would not have run on 040 before.
They quite often fix bugs also. You may find some older games run a little bit faster as they were written way before 040's were widley available.
I stll had problems with a lot of games on my 040/ppc card even using whdload games
