With my knowledge of the driver stack, the OS does indeed have to do extra work pumping up the data from lower stack to application layer - so it is definitely not free.
Furthermore, blogs.msdn.com/b/b8/archive/2012/01/24/supporting-sensors-in-windows-8.aspx has a reference to this topic:
"...Each active sensor on a system draws power, and sending data up the stack consumes both memory and CPU time." If you read further, the sensor fusion helped "minimize" the power/perf impact but there will still be some impact since it is never free.
Hence unless it is required, we should not register for sensor API callbacks.