WebGuard acts like a HTTP proxy and needs to cache some data in order to scan it. After scanning, it delivers data to the browser at full speed.
WebGuard is very fast, so the scanning itself will take very little time.
As a result, you will have almost the same download speed, but it may seem slower because the data comes to the browser with a delay. For the same reason a lot of speed-test sites/programs will turn out to be inaccurate.