This question stems from watching Rasmus Lerdorf\'s talk from Drupalcon. This question and his talk have nothing specifically to do with Drupal, by the way... it was just gi
This is what I thought at first, but it doesn't seem to be an impact. After all, your entry point is (usually) only doing a couple of things: setting some environment constants, including the bootstrap loader, optionally catching any exceptions thrown and dispatching the front controller. I think the reason that this is not inefficient is because this file does not change depending on the controller, action or even user.
I do feel this is odd however. I'm building a small MVC framework myself at the moment but it's slightly reverse to most frameworks I've used. I put controller logic in the accessed file. For example, index.php would contain the IndexController and it's actions. This approach is working well for me at least.