Saving sanding sugar
The main issue with reusing the sanding sugar is what else may have been mixed in to it:


There may be crumbs from the cookies, depending on how fastidious you are in policing your baking sheets, especially if you use the sheet for a second time in the oven
The sugar may get oil on it if you have been greasing your sheets


Within a single baking session, I would certainly reuse the sugar.

It would be a more significant issue if you are retaining the sugar between sessions, but still, unless there is dough with raw eggs mixed in with the recovered sugar (which would no doubt be a very tiny amount, and soon quite dried out), neither of these is a safety issue, although they may be an aesthetic issue.

I would ask, though.. how much extra sanding sugar are you loosing?  If you sprinkle each cookie (rather than casting sugar across the entire sheet) you should have very little excess sugar to recover.  

Still:  reuse it if you want to, and you are not displeased by its performance when being reused.