Why would I ever (really) want to implement dense mode when dealing with PIM routing?

The main difference between SM and DM is that DM floods initially until pruned, and SM does not forward until joined. The initial flooding caused by DM is often over stated. The initial flooding will stop within seconds and the optimal MC path used by DM and SM will end up to be the same.

DM has the advantage of being simpler to configure and debug. Also in terms of time to first packet received, DM will also have the advantage because DM floods by default. But the difference between DM and SM in this aspect will be a few seconds at most, unless your network involves hundreds of routers.

RPs will always receive multicast traffic at the start of the flow, but once the optimal path to the destination has been figured out by PIM, RP may no longer receive the multicast traffic if it does not fall within the optimal path.

I hope this helps.