During ETL, loading Facts we always do a lookup with the dimensions to ensure that data gets filtered. In other words fact tables will contain only that data whose reference is present in dimension tables. Adding primary key foreign key relationship will decrease the response time
I suppose that for some downloads there would be no change to the dimension tables, but I haven't had that experience. There are always new dimension facts to download too, such as new technicians or new zip codes where the work is being done. There is the chance that something will go wrong with those downloads, in which case, you wouldn't want the fact table to also succeed. FKs prevent that second download from succeeded.
There could be a case where the download time performance is absolutely crucial, but most downloads occur in the middle of the night, and 10 or 20 extra seconds isn't going to matter.