I'm sure they have some cost, but most of these should be one-time costs.
Some months ago, somebody posted on a forum somewhere about his experiences as an interns or employee at Nvidia: they seems to spend tons of effort optimizing their drivers for specific games, so you'd expect Nvidia drivers to have tons of overhead as well. The opposite is true. But Nvidia seems to be better at using at least 2 CPUs in their driver. Maybe AMD should have spent more time on that aspect?
And it's not as if there are that many GameWorks with GPU acceleration out there anyway.
It should be fairly trivial for a company like AMD to put a snooping layer between a game and the Windows API and dump all the transactions. And if they then discovered that this were the case, we'd hear it loud and clear. Since we didn't hear any whining of that sort, I'm pretty confident that this is not happening.