Not inherently. It only hurts the efficiency if the faraday ring is placed within the gap of the motor structure, since the ring is usually Cu or Al (each being more or less the same as air in terms of relative permeability, thereby increasing the effective size of the gap and deceasing magnetic strength in the gap). A lot of companies get around this by placing the rings above and below the gap, or on the internal side of the ring magnets (I'll have to dig up a pic to show). They only do this on really fancy, nice speakers.
So no, no inherent harm on efficiency if you do it right, and it will increase the high frequency response in some cases because of the lower impedance at high frequencies due to the ring cancelling out the inductance. Basically the ring only acts to cancel the AC field produced by the coil, while the DC field of the motor structure still acts on the current flowing through the voice coil wire (F = BIL and whatnot from physics).
ETA: here is a good pic. The gold ring on the top of the pole piece is the faraday ring (shorted turn). This is just one of many ways that companies implement these.
**broken link removed**