The non return valves, during their usually short working life, do reduce the pressure going through the valve by a small amount. Some of the water pressure going into the valve is used to force open the spring loaded valves, so if you have, for example, very low hot water pressure, you might lose a significant amount of that pressure to the valve.
The manufacturers instructions normally tell you for what ratio of pressure between hot and cold inlets the thermostatic mixer will work. Typically this is 5:1, or, for example, 5bar cold to 1 bar hot.