DWM uses GPU acceleration to do all of those graphical effects: it requires less CPU work, as all of the work normally done by the CPU is completely offloaded to the GPU.
That's things like drawing the window border, handling window movement, etc. DWM uses DirectX, whereas disabling it forces GDI+ to handle it. Drawing a window border involves a number if bitblts to video memory under GDI+. Under DirectX, it's a single texture upload (done once) followed by a single draw command - then everything is done behind the scenes on the video card.
By disabling DWM's effects, you're basically pulling all of that work off the video card back onto the CPU, which would have otherwise been reserved for your apps.
(And before you even think about the impact to 3D apps: Rendering 3D to a back buffer is more or less free on most video cards, so there's little to no impact on performance due to DWM. Further, DWM automatically disables itself when a fullscreen 3D application is started.)
If your video card is weak, you can disable things like window transparency and shadows, but if you disable Aero entirely, you're using CPU-based effects and the GPU sits idle.