It is definitely a positive feature, and definitely saves power. It takes much less power to listen for a cell phone tower shouting "Hey, I've got something for you" than it does to ask the tower "Any email/SMS/IM updates for me" every five minutes. This will be at least 5 to 1, and probably much more.

Also note two things: N * number of active connections, and that you've just "deafened" all the other phones listening next to you. The latter is mostly a non-issue if you're all on the same tower, but if you're in a multi-network area like a biggish town or worse yet on a train rolling through a major city.

How do you think SMS messages are delivered?