I just stumbled across the Sql Server Utility (don't ask) and was just wondering what the overhead of the collect and upload process is like? How does this compare with other monitoring/health tools like Idera's Sql Diagnostic Manager?
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Plucking an answer out of thin air..
I'd suggest the same load. At the end the day, the same dmvs will be queried by any monitoring tool. The same ones that I'd query adhoc or use in scheduled queries. SQL Server utility or a 3rd party tool just automate this for you.