You don't go into debt just to cast spells with sponsored magic, but you did when you gained the ability to cast such spells in the first place.
Sponsored magic, then, is the result of a contract, pact, or other binding arrangement, implicit or explicit. Some part of your soul is in hock.
Not only that, but the benifits you gain aren't actually 'free' in the sense you mean. They're trade-offs, the gains paid for by sacrifices made elsewhere. After all...
In order to gain the benefits of sponsored magic, the spell you're casting must align with the agenda of the sponsor and fit into the theme and scope of the sponsor's particular "flavor" of power. As a result, sponsored magic is narrower in its focus and has a sort of implicit approval component, in exchange for the extra bit of potency and flexibility it offers.
There are numerous moments in the source material where sponsored magic simply isn't available, even to the Winter Knight. Why? Mab wants to make a point, or it's against Mab's plan, or you said something the wrong way and thus broke with the fae laws and strictures. And because of that, no sponsored power.
That's rough, but at least in those circumstances you still have your natural (well, you know what I mean) powers. If all you took was Sponsored Magic though, then when you get stripped of them (which can be temporary, and can be for seemingly arbitrary reasons!) you can't cast any magic. Sponsored magic is, refresh for refresh, a better deal than Channeling and Ritual assuming the sponsor doesn't trouble you. Which means that the sponsor should be troubling you.
Probably not without giving you a fate point, but trust me, the GM only needs to slide a fate point over and say "Hey, compel on your Winter Knight aspect, you spoke the greeting wrong and now you won't get to use the sponsored magic until you apologize to the pixie and recompense her" once or twice before the non-sponsored spellcasters become very glad they aren't you.