I'm pretty sure I read in my owners manual (I think the loader's manual?) that to get effective use of the loader you need to load the tires (or put wheel weights on) AND you need a ballast box.
I don't have mine loaded, but that is done on purpose (moist clay soil and a desire to have fewer tire ruts so the lovely Mrs_Bob doesn't yell at me). I do find the need to use the ballast box or a heavy implement when I use the loader with heavy materials.
Generally I can't imagine you could put enough weight on any small tractor to bog down the engine. You can easily overload the PTO on small tractors with big PTO powered implements, but as for sapping HP due to weight, that would be a real issue for a lot of other brands long before it would be an issue for the NH tractors. NH makes modestly heavy tractors, but just compare a TC24 to a Kioti CK20 or a Mahindra 2015 . . . both of those are good tractors, both are lower horsepower, both weigh more than the TC24 and I don't think either is underpowered for it's intended implement size. Again I think the thing that you can easily do to sap engine power is to put a great big mower deck, tiller, rotary cutter on a small tractor, and that is true for any brand.
EDIT: NH 12LA manual reads, Page 2-1 "Sufficient weight can be added to the tractor by filling the tires with liquid ballast, installing weheel weights or 3-point hitch counterweights. . . NOTE: Refer to page 3-7 for specific ballasing recommendations." Then on page 3-7 it gives combinations of liquid & solid wheel weights combined with recommended ballast box weights.