...and then in the table below the screenshot...
Large overhead at record time. May collect more data that is needed. Data files can become large.
Based on past experiences with debugging using tracepoints etc., I'm more inclined to believe the latter.
Also, as a side-note, the "more modern visuals" of "WinDbg Preview" look horrible. It's a debugger, not a toy for the barely-computer-literate. Those who want the "friendly experience" will use Visual Studio instead, which amusingly enough continues to have menus instead of the disgusting ribbons as of the latest 2017 version. The screenshot also shows two lines of slightly-misaligned "Command" "Memory" "Source". Yuck.
(For those who don't understand, this what the original WinDbg looks like --- simple and functional: http://sandsprite.com/blogs/images/main_ui.png )