Is there some drawback to define SPARSE columns? I have a table which has a lot of NULL values in columns. But some columns don't contain NULLs at all (although nullable). Is there some drawback to declare all of these columns as SPARSE?
Columns which are SPARSE but don't have NULL values in it will take up more space than a non-SPARSE column.  You'll only want to use a SPARSE column when the data is actually sparse.