Kindle does allow subfolders on the device in terms of sending books over, but you won't see that structure at all when actually using your Kindle. As a result, I don't really worry much about where Calibre puts books on my Kindle. I'll probably change my ways if Amazon ever makes browsing your folders possible.
As for speed, I don't think there would be any more of a problem having a 1000 books in one folder vs. 1000 books in 1000 different folders. Any speed loss will be more likely due to indexing.
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