Displaying a cached image will always be faster than performing drawing computations, in any browser, not just IE.
So you are saying that using native border-radius in Firefox or Chrome or IE9 will be slower than the extra markup and CSS positioning that would be required to implement rounded corners with images? This has not been my experience but maybe I'm wrong. I'd love to see some numbers on that if you have them.
My concern is that implementing PIE will punish legacy users on old hardware (many of whom are not legacy users by choice) with slower page loads and painful reflows.
Like I said, if your concern for this outweighs the benefits of an abstraction like PIE, then don't use it. Simple as that.