The doc says:
Assigning events to a master bank is not recommended. This is because a master bank must be loaded at all times, meaning that it is not possible to unload the bank in order to conserve memory. However, in small projects where only one bank is needed, assigning events to the master bank may be more viable.
and
Because a master bank is loaded into memory at all times, it is generally best for performance to keep it as small as possible by assigning no events to it.
But that’s confusing in some aspects, that’s why I created this post and get a thorough answer by richard_simms. To sum up, the doc was aimed more at big projects. If you intend to load and forget all your banks at the beginning of your game, you have your answer: you won’t benefit from splitting your banks rather than putting everything in the master bank, in terms of memory management.