I also notice a fairly dramatic drop in throughput when I turn traffic shaping on.
When routing between two internal networks (LAN and DMZ) I get around 40-45Mb/s, when traffic shaping is on it's down to 3.5-3.6Mbps. This is using NetCPS on either endpoint computer. I have a 4.4Mb/s down and 0.8Mb/s up WAN link, so I just have kept traffic shaping off as well.
My hardware is a P3 500MHz Celeron, 128MB RAM, 256MB CF card, one 3com NIC.
There is a post in the forums that explains why this is the case. It was written by Bill not even a few days ago.