Every keyed item incurs a little bit of performance cost. Not much.
But if you spawn several of that skeleton in game, it can add up fast.
You should really only key things you need to animate, as a general rule.
It also makes the dopesheet a bit of a mess to work with.
Eventually, you have a bunch of keys and you don't know if they're posing something or animating or doing nothing and which ones are doing what. This part is true even in AfterEffects or Blender or other programs with dopesheets... except other programs may have better indicators for key values.