Yes it takes CPU, but not much.
When setting the desired brightness level it takes up to 30%, but once set you no longer need to adjust the brightness with this little app, you can simply use OSX's default brightness control.
It then continuously uses 0.01% CPU, which is very low in my opinion, definitely not an issue.
(Similar 'screen-shaders' like Shades or DarkAdapted take a continuous CPU of 0.5%)

Two issues:

Playing OSX's Chess when ScreenShade is already running, you don't see the movements of the chess pieces.
You first have to quit and restart Screenshade (do not quit Chess) in order to see the animations.

Making a screenshot of a window (cmd Shift 4 followed by the space bar), while Screenshade is running, you cannot select a window and still making a shot results in a blank image.
You have to quit Screenshade in order to work.
A full desktop screenshot (Cmd Shift 4) works without any problems.