Having used HDF files and normal filesystem access under osX and Linux for E-UAE, I would say that the loss of speed would not be worth it.
In addition, the HDF gets tricky under different emulators; you need to know blocksize and so on. That's not something that your average joe setting this up for the first time can deal with.
I've converted 100% of the HDF files to normal system files that I've had. In particular, the HDF that contains the development environment from amiga.sourceforge.net is sped up significantly (the include files, etc)
The simple reason is - your OS deals with a filesystem in a non-emulated fashion; sfs and so on run under the emulation, and thus can be slow and troublesome. And from what I've read, the RDB emulation has undergone some changes and wasn't that complete... No, I think this is altogether a much better solution for most folks. Those who want a HDF certainly have that option, and they'd have the knowhow to make them, as well as the knowhow of just HOW they wanted it set up.