It doesn't mean you'll get more lag Silphius.
There are going to be two more options in the process of connecting you to other people that aren't implemented at the moment.
1. Port forwarding, connection from you to other players, bypassing the need for the NAT facilitator if your ports are forwarded correctly. This is the fastest method(not implemented at the moment).
2. NAT facilitator. If your ports are not forwarded, the NAT facilitator will try connect you to other players. This is a little slower than port forwarding, and as Stardock has been saying, with lots of players, puts HUGE strain on their servers (This is currently the only method used, even if your ports are forwarded).
3. Proxy servers. If the above two methods fail, you will play through a proxy server. This adds an extra server you must go through, the server will connect to the players on your behalf. If the proxy server is far away, you will get get extra latency. An extreme example, would be: Say the proxy server is in the US and you are in... Russia. You would connect from Russia, to the proxy server in the US, that would then connect to say another player in Africa. As you can see, the route for information to travel has been substantially increased, instead of Russia -> Africa, BUT, you will be guarenteed to get a connection. This is why it is a last ditch effort. (As I said, this is a worst case scenario).