Erin Stellato discusses sparse columns:
In conclusion, we see a significant reduction in disk space and IO when sparse columns are used, and they perform slightly better than non-sparse columns in our simple data modification tests (note that retrieval performance should also be considered; perhaps the subject of another post).
Sparse columns have a lot of potential value, but in my experience, they fall short in one huge way: you cannot compress tables with sparse columns. Given that both sparse columns and data compression are things which benefit from scale, it’s important to make the right choice upfront.