I've read that WB's skinning engine is 4x more efficient than the default Windows Aero solution and I just wanted to know what this means exactly.
From WindowBlinds product pages
Improves performance of the Windows GUI due to optimizations it makes to Windows drawing routines
Would using an exact replica of the Aero skin through WB lead to faster and more responsive windows?
Yes, see above for reason.
If I used a skin that was really bloated with a lot of graphics, would it still perform better?
Other than if a skin is using layers(which WB handles very well) for say the taskbar as an example, there are no more images in a skin than the default Windows skin.