Why do HDDs suffer from performance loss due to capacity decrease?

The storage density of the bigger hard drives is higher than the densities of the smaller ones. With the same rotational speed (7200 RPM), this means that data can be read/written faster.

From Memory storage density # Effects on performance - Wikipedia, the free encyclopedia:

Increasing storage density of a medium almost always improves the transfer speed at which that medium can operate. This is most obvious when considering various disk-based media, where the storage elements are spread over the surface of the disk and must be physically rotated under the "head" in order to be read or written. Higher density means more data moves under the head for any given mechanical movement.

Considering the floppy disk as a basic example, we can calculate the effective transfer speed by determining how fast the bits move under the head. A standard 3½" floppy disk spins at 300 rpm, and the innermost track about 66 mm long (10.5 mm radius). At 300 rpm the linear speed of the media under the head is thus about 66 mm x 300 rpm = 19800 mm/minute, or 330 mm/s. Along that track the bits are stored at a density of 686 bit/mm, which means that the head sees 686 bit/mm x 330 mm/s = 226,380 bit/s (or 28.3 KiB/s).

Now consider an improvement to the design that doubles the density of the bits by reducing sample length and keeping the same track spacing. This would immediately result in a doubling of transfer speed because the bits would be passing under the head twice as fast. Early floppy disk interfaces were originally designed with 250 kbit/s transfer speeds in mind, and were already being outperformed with the introduction of the "high density" 1.44 MB (1,440 KiB) floppies in the 1980s. The vast majority of PCs included interfaces designed for high density drives that ran at 500 kbit/s instead. These too were completely overwhelmed by newer devices like the LS-120, which were forced to use higher-speed interfaces such as IDE.

(emphasis mine)

Well, all drives are supposedly the same size (as in height, width, depth). So, to fit more data into that size, the data has to be packed at higher density.

The moving parts (like the head) in the HDDs most likely all move at the same speed.

So, if you increase the data density, but the speed at which you move over said data stays constant, you increase overall throughput.

I believe Advanced Format refers to the use of 4k sectors instead of 512bytes. Among other things, this change meant that fewer bits on the platter needed to be used for ECC codes. As a result slightly fewer bits need to be read to get a given amount of data off the drive; with everything else the same this would result in a slightly higher maximum transfer rate. This is likely the explanation for the difference between the two 500MB drives.