Yes, having all bones visible in the setup mode, even if their attachments are not visible, can affect the game's performance. Each bone requires computations, and having many bones (hundreds) can add up, especially if you are using runtimes. However, bones and constraints in a skin are inactive when the skin is not applied, so using skin bones can help manage which bones are active and reduce the performance impact.
To optimize performance, you can use skin bones to ensure that only the necessary bones for the active skin are updated. This way, bones that are not needed for the current animation are not computed, which can help improve performance.
For more detailed information, you can refer to the Spine User Guide on Skin Bones.