A complex page might take significantly longer to load. Separate small pages each take a small time to load. Add all those loading times up and it is probably the same. However, your end user experiences several short waits instead of a single long one.
Pages with lots of flags and conditional visibility can also be hard to maintain later.
My suggestion: break it up and use snippets where possible.
When it comes to making a wizard, you could also have a look at the WizardSteps widget, which creates a nice UI (don't know how to configure it, have a look at the README)