The question is: is it better to not have any graphics processing on the main CPU and use a good card, or is the closeness of the GPU a major factor in speeding things up? Also, I'm not totally clear if the final signal comes out of the CPU, or if it still has to go to a Video chip.
What are you using it for? The integrated graphics is fine for desktop use or basic gaming, but you'll need a dedicated GPU for serious gaming. Integrated graphics doesn't really put extra load on the CPU, as it's a separate part of the chip that's probably just turned off if you install a dedicated GPU. But it does put extra load on the RAM, since that's shared between the two, whereas a dedicated GPU has RAM on the card.