Oh, sure. Trying to load all the comments - not just bandwidth wise, but database query wise - at once would be a brute. I'd presume they'd still do it in a max x-per-page format.

Thinking about it, they do have to query all the posts in any thread stuck on the main page as it is, so you're only adding the text and the image, though both of those are larger items; the sender, title, date/time, stuff - it's all on the page from the lowest level up.