Yes there is a small loss of HP, but mostly it behaves differently than a gear. Hydro's like rpm's, so guy's used to gear have to learn to throttle up. When a gear tractor comes up against an immovable object(like driving the bucket into a pile of dirt/gravel) it will spin all 4 tires. A hydro might spin some, but not aggressively and may just stop. This is normal, but it will teach you to go in easy, lifting and curling at the same time. I don't see that spinning the tires is a benefit, since once that happens all you are doing is digging 4 divots at the same time.
On steep terrain(and I have a ton of it) I can climb a steep hill in Med range with a load. I recently used a shuttle tractor 15 horses bigger than mine on the same hill(my driveway) with a load and I might have been able to go a mile or two faster than my DK. The shuttle & gear tractors seem to have much better ground speed for running down a mostly level road.
It's a personal choice, so if you can drive all 3...gear, shuttle & hydro, then make up your mind. For me, the hydro benefits out weigh the small negatives by a wide margin.
Yes, Hydro's are usually about a thousand bucks more when buying new.