And you're right, although it depends on your hardware configuration. When DreamScene was being developed it was understood that it needed to have as little impact on CPU performance as possible, so it was designed to use the Graphics processor as much as possible, provided the graphics card supports Vista Aero.
Nevertheless, there can be performance hits, especially if your graphics card doesn't have hardware acceleration. DreamScene is designed to stop running when a laptop is used on battery power, but you can force it to run by changing your power settings. If you do that you'll certainly notice a reduction in available running time.
If you find that DreamScene is running slowly a good tip is to use an MPG video file, rather than a WMV. Although the MPG file will probably be larger it will require less in the way of resources to run.
The FE is correct, although if you want to run games etc. You can right click the desktop and choose "pause Dreamscene"
Even on this machine (Quad core Phenom 9800, 2x8800GTX gpus) and 4gb of ram, it can make games a little stuttery.....According to diagnostics, this is due to my rather slow 2x 500GB spinpoint hdds.....Need 2 Raptors or similar I think.