How large of a center stone, the outer diameter of the halo (how much coverage), and how wide or bulky the wedding band, and whether or not that band is shaped to hug the halo all have to betaken into consideration.
Braga, I don't wear a band with my halo, but not because it makes it look smaller - I think in my case I feel the vintage style details of my ering stand out a bit more without the band, and to my eye there just seems to be a bit too much going on. If I had opted for a plain shank halo, I would definitely wear a band. But to answer your question, no, I don't think a relatively thin band makes a halo look smaller.
I do not have a halo ring myself, but I do not feel a band makes the halo or center stone look smaller at all.
For every halo ring, there are several options that look best. Sometimes no band or a plain band or multiple stackers etc. It all depends on the shank (whether it is plain or has pavee) and overall look of the e-ring.