Do a publisher and a subscriber on the same machine incur network load?

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I have a Publisher and a Subscriber living on Machine A, with Machine B as the ROS Master. Do they still send messages over the network?

See #q276636 (also related: #q285336).

If they do not, do the messages still get serialized and deserialized? [..] Now both Publisher and Subscriber live in the same node. Does it make any difference?

(de)serialisation always happens, no matter where publishers or subscribers "live", unless you're using nodelets.

I'm aware of the concept of nodelets for accessing shared memory. Does the Publisher/Subscriber paradigm have any similar functionality?

This question is a bit strange: both nodes and nodelets contain publishers and subscribers. Zero-copy message exchange is not a property of subscribers or publishers, but of nodelets.

So: if the publisher and the subscriber exist in nodelets and share the same memory address space (ie: are loaded in the same nodelet manager), then zero-copy message exchange can be used.

Otherwise it's not possible.

There have been some shared-memory transports in the past, but they're unmaintained, and (almost certainly) incompatible with current ROS versions.