Not really.
It depends if you are living in a good HSDPA signal area or not. I have a 4 bar H+ signal at home usually and so therefore my phone is not constantly "seeking" all the time.
If however, you live in marginal area and only set your phone to WCDMA (HSDPA), then your phone will be constantly seeking that signal only.
if in doubt, just leave your phone on GSM/WCDMA and it will pick the best signal. If you get "H" then fine. If you get "H+", even better as your Market and browser will be a lot faster on page loading.