I would not expect much, but you'd have to measure to be sure.

If you actually have a million of something you're better off writing a custom manager thing to handle the bulk of the work anyway. For instance, if you're doing a brick building game where users might place a million bricks - maybe you want each brick to be an Actor for certain use cases, but you'd want to centralize all the collision, rendering, update logic. (This is what I did on a project with this exact use case and it worked nicely.)