Does Margin include tasks, projects and performance reviews?

No. They're parts of Masthead, added to a Masthead plan: Masthead Work (tasks, projects, milestones, the team calendar and workload) and Masthead Perform (performance reviews and goals, probation check-ins, one-to-ones and recognition). Masthead's Everything plan has both.

Margin's own reminders that become tasks, its auto-tasks, show once you have Masthead Work.