Be carefull when using this component for large sites with a lot of urls within the pages. The URL's are dynamicly created/translate meaning that it can downgrade your performance and issue a lot of SQL queries on the SQL server. For small sites with a few URL's within the pages it will work fine.
JoomSEF uses database to store its URL. This means that with wrong configuration or usage with unsupported components which generate far too many URLs, it is really possible that it can have influence to site performance. However, if configured correctly, this should not happen.