Actually, it depends on how you invoke them. It's possible to stack the filters in a single smart layer, in which case you only incur the overhead once. Truth is, this is something I didn't realize until I tested it for the purposes of this post. I can stack all invocations of Nik in a single smart object and only incur the overhead once.
As you can see here, I've created on Smart Object that carries information from 5 different calls to various Nik Collection tools. At the bottom left you can see that the image has doubled in size from the original call. Double-clicking on any one of those calls to a Nik Tool will open the filter at the point at which it was invoked and allow you to tweak the settings. You can only see changes to the image at that point in the edit stream while editing, and not the additional effects that were applied over top, but PS will reapply each of the new tools in order once you are done (this can be time consuming).
The nice thing is, you can flatten everything when you're done, and until then you have a non-destructive workflow that is ultimately tweakable at the cost of one additional layer.
So I retract my earlier statements. I believe that had to do with invoking Nik as a Smart Object directly from Lightroom. It behaves much better in PS.
In other words, I believe you have just helped me enhance my work flow.