There is automatically a performance hit when you need to do out-of-process communications, so the question is if the application server does not scale well enough so this can pay off.
As a basic rule of thumb the JVM design allows the usage of any number of CPU's and any amount of RAM the operating system provides. The actual limits are JVM implementation specific, and you need to read the specifications very carefully before choosing to see if there is any limits relevant to you.
Given you have a JVM which can utilize the hardware, you then need an app server which can scale appropriately. A common bottleneck these days is the amount of web requests that can be processed per second - a modern server should be able to process 10000 requests per second (see http://www.kegel.com/c10k.html) but not all do.
So, first of all identify your most pressing needs (connections per second? memory usage? network bandwidth?) and use that to identify the best platform + jvm + app server combination. If you have concrete needs, vendors will usually be happy to assist you to make a sale.