Each RequestContext will have an implementing class generated, so yes, there's an overhead (class metadata, initialization code, etc.)
The overhead is much lower as with RPC though (as much more code is shared between contexts than between RPC services).
...and the GWT compiler improves from version to version so that the overhead becomes lower over time (so you don't even have to think about it, until you *have* to think about it (i.e. you have a perf issue, and you identified through benchmarks and other perf analysis that it's a bottleneck))
Compare that overhead with the reduced readability (thus less maintainable code) of a giant RequestContext, and particularly its server-side counter part service, with dozens of methods!