Yes, it will do an additional retrieve. You can see for yourself by putter the Log node ConnecitonBus_Retrieve to Debug (or Trace). You will see something like:
RequestAnalyzer: incoming request InternalLimitedXPathTextGetRequest (depth = -1, offset = 60, amount = 20): //PartyDataManagement.Party
which queries my PartyDataManagement.Party table by retrieving 20 rows with an offset of 60 (moving to page 4)