We have a application that is very webservice-heavy currently running in production, and haven't had any real issues so far.
During production the only issue that we picked up was when we tried to do batch processing (400000 records) over the web service.
We were however able to feed the 400000 records synchronously over the same web service within a fairly short amount of time, without any issues.
I would say that Mendix handles web services very well, and you should not be concerned about performance.
One thing to keep in mind is the direction in which you're using webservices. If you publish a webservice with a parameter of type list, the entire parameter will need to be in memory before the Microflow can start. This can possibly be very memory intensive.
The other way around is much more memory-friendly; responses from a webservice that you call are directly streamed into the database, which is very efficient.