Performance impact of waiting on a service broker message
You are blocking a worker in SQL Server and workers are limited, subject to max worker threads. This means there should not be thousands of requests blocked in WAITFOR(RECEIVE...) or you'll starve the server of workers. 

But the first question that comes to mind is Why no leverage Service Broker Activation? This way you wouldn't be waiting all the time but only when activated because there are messages to receive.