First of all, the wide range of languages on the .NET platform definitely contains languages that generate code with different performance, so not all languages are equally performant. They all compile to the same intermediate language (IL), but the generated code may be different, some languages may rely on Reflection or dynamic language runtime (DLR) etc.
However, it is true that the BCL (and other libraries used by the languages) will have the same performance regardless of what language do you call them from - this means that if you use some library that does expensive calculations or rendering without doing complex calculations yourself, it doesn't really matter which language you use to call it.
I think the best way to think about the problem is not to think about languages, but about different features and styles of programming available in those languages. The following lists some of them:
Unsafe code: You can use unsafe code in C++/CLI and to some point also in C#. This is probably the most efficent way to write certain operations, but you loose some safety guarantees.
Statically typed, imperative: This is the usual style of programming in C# and VB.Net, but you can also use imperative style from F#. Notably, many tail-recursive functions are compiled to statically typed, imperative IL code, so this also applies to some F# functions
Statically typed, functional: This is used by most F# programs. The generated code is largely different than what imperative category uses, but it is still statically typed, so there is no significant performance loss. Comparing imperative and functional is somewhat difficult as the optimal implementation looks quite different in both of the versions.
Dynamically typed: Languages like IronPython and IronRuby use dynamic language runtime, which implements dynamic method calls etc. This is somewhat slower than statically typed code (but DLR is optimized in many ways). Note that code written using C# 4.0 dynamic
also falls into this category.
There are many other languages that may not fall into any of these categoires, however I believe that the above list covers most of the common cases (and definitely covers all Microsoft languages).