Plenty of stuff about shading and rounded corners slowing sites down, esp. in Mozilla.
I am pretty sure this harks back to Nifty but anyhoo..
Found this interesting:
http://www.ruzee.com/blog/shadedborder
Using Liquid Canvas
http://www.ruzee.com/files/liquid-canvas/demo.html
I think those stating it slows the page down, are basing this on the rendering of rounded corner images. But using javascript to accomplish the task.
I have seen no speed increase/decrease either way