Obviously, wider ranges will (possibly) reject more often, but unless the range is huge, rejection should be a very cold branch.
Any non-cryptographic PRNG is useful only if it is much faster than a cryptographic RNG, e.g. one using AES, which in many modern CPUs needs around 10 clock cycles to generate a 128-bit random number (less than that, even less than half of that, in some more recent CPUs).
So non-cryptographic PRNGs must generate a 64-bit number in less than 1 nanosecond to be competitive. Many older PRNGs are not this fast, so they are completely obsolete.
Such PRNGs do not offer any guarantee that if you take more than one piece of a generated number they will not be correlated. So the rule is that you can not make 2 or more random numbers from 1 random number provided by a PRNG.
Nonetheless, the rejection can be done either before or after the multiplication or division that does most of the job for passing from the input range to the output range.
The place where rejection is done can be chosen to minimize the amount of values that are rejected, making thus unlikely that the branch is taken, so it will be correctly predicted most of the time.
For maximum speed, it is preferable to use multiplication instead of division, i.e. the input is seen as a fraction less than 1 and after multiplication only the integer part is retained. Taking care to use multiplication is normally more important than worrying that rejection may decrease the performance.