Running Python is not a performance cost. The meaning behind "no performance cost" is that a tool like this is unlikely going to impact the performance of the application that is being profiled. The fact that Python is not a "fast" programming language is then a different matter.
The point is that it's only possible in the first place because Python leaves so much performance on the table. You can't snoop inside a C++ program in the same way - unless you throw a bunch of sleep() calls everywhere to slow it down, and then hey presto you can!
Or, to put it another way, taking Python from 500x SlowerThanCee to 501x is "negligible", but taking C from 1x to 2x slower isn't.
Heh, so the only reason there's "no performance cost" is the enormous performance cost of using Python in the first place?