It's true, the pressure required on the downstroke is slightly higher, perhaps a pound or so, but this has never been an issue for me. I'll gladly trade it for the hassle of cleaning the lube off the cases before running them through the remaining stages, or the increased frequency of cleaning the press necessary. In addition, dillons should be operated briskly anyway, to ensure proper functioning of the powder measure (i.e. preventing bridging and keeping the powder settled in the hopper).
As for additional stress - these are straightwall pistol cases, and the amount of sizing force needed is minimal anyway. The Dillon compound linkage is plenty robust to handle it without any additional wear. Just keep it lubed, and crank away.
If you do lube, the "right" way, is to size and decap the case first, tumble clean, then run the cases through the press using the first station to seat primers only. Otherwise, you end up pushing wax up into the powder/expander die and seater die as well. Beyond that, using lube means cleaning a lot more often, since the stuff attracts primer residue and creates a lovely abrasive paste everywhere it accumulates.