Is making a feature of literally everything available actually a smart thing to do?
Yes.

Combined with placing your Feature module(s) in version control and carefully reviewing the diffs, this is a good way to keep track of administrative changes to the sites you maintain.  I do this on most sites I maintain.

However:


If you're using Strongarm, you shouldn't export literally everything.  Some system variables are caches, and will change frequently; exporting these caches to a Feature module will just cause the Feature to appear overridden all the time, without providing any maintenance value.  Over on this answer I provided a list of variables to exclude.
I wouldn't expect Features to increase performance, though.  I elaborated on that over here.