The Wii doesn't start games from SD. You will notice a delay before an SD based WiiWare game starts… because it is (non-verbose, no message) copied to NAND and started from there.
Some people might get concerned of write cycles on the NAND chip because of this.
If you want to avoid such write cycles, setup EmuNAND to really run everything from SD.
I've never run into trouble with the space, since WIiWare/Virtual Console games are mostly small and there wasn't a whole lot of them worth buying when this was still possible.