The threads aren't server intensive at all and combining them in to one thread would make very little difference at all! A majority of the images are hosted on other servers, so most images are really just a small line of code to the server. Only those attached make any difference, but if every user didn't change how often they viewed the desktop threads then they wouldn't be accessed more than usual in a single thread.
The only difference would be that new MacRumors users might browse through the entire thread, whereas before they may have only looked at the current months, but that still wouldn't be a significant load on the server!
That said, I prefer the monthly threads as it is much easier to remember where you were up to, whether you are logged in on your comp or elsewhere.