It certainly will make load times slightly faster on the front-end since there's less files to load, but it's not going to be a huge amount. If you are having speed issues, you should be looking more at backend stuff I would suspect.
It's not 30-40kb saved per page, but it's the equivalent of a 30-40kb document since a document can be compressed, and HTTP headers can't, so there is about 500% more network traffic for HTTP headers vs. the document itself.
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