But FSDT addon manager does not create the directory Sound.
No, it doesn't, it will appear when you install a scenery that comes with its own sounds.
I remember reading somewhere that P3D4.3 at times take longer to load if the directories are not present even though defined in the xml.
Was something confirmed by LM, or just some user opinion ?
Yes, it's possible that, if some addon calls for a sound (or any other file) in some folder, and that folder doesn't exist, the sim will lose some time in searching the sound elsewhere, but if nothing calls for it, which is this case, that additional folder is just an additional entry in a list of folders to look for but, if files are found where they are supposed to be, it won't cause any slowdown.
I just created the empty "sound" directory and all is well.
if that makes you fell better, no harm. But I don't think you would be able to actually measure any slowdown, let alone noticing it.