From a technical aspect, larger levels shouldn't be much more taxing than smaller levels if you employ some eventing tricks (i.e. don't update off-screen events if you can). From a game design perspective, it depends on the pace of the game you're trying to make.
If you want to make a game with a certain amount of exploration ("Collect as Much Treasure as You Can in 3 Minutes!"), using a large level and a fair amount of time to find everything might be ideal. On the other hand, if your game goes along the lines of "Collect all 5 Coins in 10 Seconds!", then you want to make sure that the player knows exactly where the coins are and can figure out how to get to them fairly quickly. The easiest way to do this is to use a screen-sized level.
In terms of load times, I'd only worry if you have to load many types of objects; that is, you have to load a lot of images from sprites or backgrounds at once. After an image is loaded, it's stored in the player's computer, so you only have to load an image once. This means that if you use the same assets from level to level, load times are extremely low.
... I think. Let's hope someone who knows the engine better than I do responds to this topic.
Hope this helps.