First of all, you need to understand that there is no longer any such thing as "SDE". The technology was renamed "ArcSDE" at ArcGIS 8.0, and even "ArcSDE" isn't available as a product anymore (as of ArcGIS 9.2). The current term of art is "enterprise geodatabase," which encompasses all RDBMS, Object-Relational, and NoSQL storage of spatial data, as accessed by ArcGIS through a Database Connection.
There may or may not be performance benefits from storing spatial data in a enterprise geodatabase. Back in the infancy of SDE, some marketing reps were selling it as a "spatial data accelerator", but that practice has been stopped. There are benefits, but there are additional costs as well, starting with database installation and maintenance. Shapefile and File Geodatabase formats will still generally outperform an RDBMS engine on a "draw all features" query, precisely because of the principal benefits of a transactional RDBMS (Atomicity, Consistency, Isolation, & Durability). Enterprise databases usually allow for more sophisticated queries (because of the SQL language, or lack thereof) and more exotic indexing options, which often result in better performance with small query results from large tables.
"Several gigabytes" of data might not reach the conventional definition of "large" if you have a large number of wide string columns. The definition is also somewhat elastic, since 200,000 complex polygons might be large while 500,000 points might not. Certainly tens of millions of features would reach "large" or even "very large". Mostly it's a matter of how you need to manage the data to do something useful with it.
In order to help you decide whether an enterprise geodatabase would be of a benefit to you, you'd need to provide quite a bit more information on the numbers and kinds of tables, with row counts and width indicators, and the kinds of operations which are commonly performed against your dataset.
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