I noticed recently that my Flex application SWF was loading twice. I would see the main Flex SWF file load at full size (~500kb), and then I would see it requested a second time, at a significantly lower file size: 64kb. It appears that this second load is the Flex framework loading in your styles that were compiled into the app. If you check the “Compile CSS to SWF” option in Flex Builder, this probably won’t happen in your app.
With that said, there doesn’t appear to be a major downside to this, other than that you might see an additional HTTP request for your SWF.
Comments and additional research are always welcome!