Honestly I cannot admit to possessing any deeper knowledge, but I do know that in some of the Epic training materials it has been recommended to keep object sizes - i.e. quantity of components - in moderation.
There is moderation. From a rendering perspective, for example, having multiple smaller objects would increase the amount of drawcalls. However, it’s not recommended to take everything and turn it all into one big static mesh either, because that causes bottlenecks elsewhere and prevents culling.
If I were to hazard a guess, the recommendation of not creating very large objects with multiple components has to do with replication. If you have a change in the state of an object and communicate that over a network, if that object was large, the network would be stressed out more, and possibly send more data than would be necessary than if the object was smaller.