Performance of Virtual Network vs Direct Public Access

I want to know if there is a performance advantage to creating a virtual network within an Azure Data Centre. 

I have a number of web roles which currently make HTTP requests to a box set up as a Virtual Machine with a public IP using basic authentication (in the same Azure Data Centre).

Would there be lower latency if I put the Web Roles and the Virtual Machines on a Virtual Network and used the VPN address for these HTTP requests instead of the public IP?