One simple question

Whether you draw a shape in Flash or tell Actionscript to draw that shape, you will end up with the same compiled code in the final .swf. Using bitmap images in your flash movie will increase its size because bitmap images need more data to describe them than a vector does.

If you keep all of the bitmap images as external files that are loaded at runtime, then you can keep the size of the .swf file relatively small. It will still take time to load in the bitmap images, whether they are inside the .swf or external to the .swf. It can actually take longer to get the bitmap image to the screen if it is external.

How much you put into any given .swf and how you load the data is a matter of design. You should not use only vector graphics because they will load faster, you should use whatever media will give your users the best experience. Design the project so that the user is immediately engaged and so that the user sees the best art that you can provide.