The big concern for third party is because hey must always lag behind release dates of the devices and applications you want to monitor.
However, as wbrown mentioned earlier, most modern operating systems include some kind of management agent that is usually SNMP or WMI.
So really, all of the monitoring we are doing is by an agent and all monitoring by an agent will consume system resources on the device being monitored.
For me it is who provides the agent. Is it a third party agent or supplied with the product/os.
In that case I would always use the supplied version.
Sadly we have some vendors out there who do not effectively support either SNMP or WMI and instead support WBEM, which has essentially no support within SAM.
So for those systems we will have to run an intermediary to send snmp traps - most annoying.