Oh yes! Of course like any other table structures in the Power BI in-memory based structure, every date table, consumes memory. But it would do the same even if you create your custom date dimension! Whenever you do the role-playing dimension scenario you are also consuming even more memory! The main difference is that Power BI default Date dimension will be created even if you do not want to do the date-based analysis on a date field! For example, even if you don’t use DueDate in your date-based analysis, still Power BI creates a date dimension for it. You cannot stop it for one field. You have to either stop the default creation of the Date dimension for the entire model or use it for the entire model, you cannot customize it per field. But with the custom date dimension, you can.
Reza does a good job of giving us the trade-offs between these two and explaining when we should use each.