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What is the extra load that we should expect on the server?

The export operations (orders, invoices) place no significant load. The import operations do save operations on Magento entities, but they do them sequentially. The potentially worst case load scenario would be if the products are changed all the time, continuously issuing product save operations. Although this depends on your Magento instance, a default Magento install will not increase the load more than 10%-20%.