I found the exact opposite on my dev enviornment.  The CTE procs out performed the loop procedures.  I used the scripts and ran through all the test scenarios and found the CTE ran 50% faster than the loop.  I'm running Windows 2003 Enterprise Edition, SQL 2005 Enterprise Edition SP2, 4 Dual Core (3.0 GHZ) Processors and 2 GB RAM. 

I also use Recursive CTEs in a real production environment (3.2 TB Database) on 200 million and almost Billion row tables with a hierachly data structure and many nodes.  I've never had an issue with CTE performance as long as indexes are tuned properly.  I would not shy away from using CTE just because of this article.