Yes, 0 does have a speed advantage, how much in any particular system is any interesting question. Personally I wouldn’t hassle with it unless I had a situation where disk access was choking something critical.
You’ll need to copy more than the wdisplay folder, there’s the .ini file, and the registry entry too. There is a FAQ http://discourse.weather-watch.com/t/10888 on moving to a new PC that has the all info but the .ini file is in a different location in the latest versions.