I think you'll have to go a long way before this becomes an issue.
Small PNG or JPG's depending on how many colours the hotspot image has are normally loaded very fast.
But if you use say the rectangle tool which has no real file size then this is no issue at all.
The animated Hotspot that uses a timer to pulse it is made from the rectangle tool.
As a tip, if you want to use Node Images and you want hotspot preview images and thumbnail manus, also one for mobiles etc then if the node images are the same size and use the same file type then you only generate one set of images which get reused for all.
The Silhouette_V6 skin does this. If you look at the node images they are all the same size but uses Scale to make them smaller or larger in the output.
Q&A about the latest versions