Is worrying about too many CNAMEs a micro optimization?

It may cause a very brief extra delay the first time a particular user accesses (that is, looks up) your service. Exactly how long depends on too many factors to say for sure, but it should not be noticeable (particularly not if all CNAMEs are in domains hosted at the same servers).

If you want an example of someone big doing this sort of thing, have a look at www.microsoft.com, which chains three CNAMEs.

There is such a thing as too many CNAME redirects, so reducing the number that lead to your final record is not just a micro optimization.

Unbound hardcodes a limit to prevent CNAME loops (header, source). Having to resolve too many CNAMES can results in SERVFAIL even when there is no loop.