Loading classes is almost a non-issue in terms of performance, especially if you are using APC. I think the time saved by using what they give you completely justifies the slight performance loss due to loading their classes.
However, if their code is well written you shouldn't load any classes you don't actually use.
Also, if they maintain their library it will be easier to receive updates as time goes on. For instance, we used to roll our own Facebook APIs that used curl and had to stop due to their high number of updates and breaking changes over time.