Does wi-fi sleep policy "never" mean that my phone's battery will be drain a lot faster?
If you have "wifi-sleep" on, when the device goes to sleep, the wifi connection will disconnect from the access point. It doesn't happen right as the device goes to sleep, but a little delay after. It shouldn't drain the battery much more then just having wifi on. 

Of course, if you have very network active apps running, then it may drain it a bit more. But on the other side, if wifi goes to sleep, and you have network active apps, they will just use your mobile connection, if it is available.