You run out of sanity in prolonged / consecutive "this is scary here" missions and through use of psionics. When you do, you regain less TU per turn, for one, for 50% at 0 sanity. If you're playing aggressively, sanity drain is nearly negligible. You can greatly recover sanity with a few hits of nobelon at cost of some health. Thus, sanity is not very important when you know how / don't forget to manage it. And yet, 5 firing accuracy is even less important than 10 sanity, IMO.