Wildfire 3.1.1 and earlier releases had a 1:1 mapping of clients and internal threads. This lead to a lot of problems as application with 10000 threads make processors busy with task switches instead of processing, no matter if you are using a connection manager or not. But java applications usually cause native memory errors if they try to run more than 3000 threads, so some Connection Managers did make sense to handle more users.
Wildfire 3.2.x uses NIO to improve the mapping of clients and internal threads a lot and this increases performance a lot. As far as I know the CM’‘s just bundle a lot of connections into one, they do not parse packets or something like this. So you’'ll see no real performance advantage.
I think the CM are good DMZ-proxies (s2s-support is still missing) for Wildfire, so you can easily disconnect the internet.