Just did a quick test comparing the file size of 100 individually grouped cubes and 100 copied component cubes, and surprisingly the component cube file was slightly bigger. I imagine this is only really true for quite simple geometry, and that when you strat getting more complex components the advantage (file size wise) will become apparent.

Mind Hazza that if you use different styles in the same model, this is not an "annoying message" but a pretty useful dialog box where you can set different things.